| WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL |
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| 作者姓名： | 任浩波 赵延孟 李元 谢衷洁 |
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| 作者单位： | Ren Haobo Zhao YanmengLi Yuan Xie ZhongjieDepartment of Probability and Statistics，Peking University，Beijing 100871，ChinaDepartment of Mathematical Eduation，Shenzhen University，Shenzhen 518060，ChinaDepartment of Mathematics，Guangzhou University，G |
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| 摘 要： | 11砒roductlonAnalysis ofjumps Is very important Inpractlce．Thejumps often predicts that the in－vestlgated objects are subject to sudden山auges In山aractenstlcs．刊r exaxnple,the jumps ofn 6Xchs,lxge fat6 ill illAnC6 OftCh ShOW th6 lllfiU6DC6 of th6 11POTts;llt 6y6llts h th6 WOTld Oil6nance markt;thejumps ofa seismic signal In oil exploration m叫 imply that there eistsbroken stratum In the expfored strata．It is hot 6My to d6t6Ct th6 JllthPS SlllC6 th6 llld6Ylying Signal Is Oft6l…
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| 收稿时间： | 7 December 1998 |
WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL |
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| Ren Haobo Zhao YanmengLi Yuan,Xie Zhongjie.WAVELET ESTIMATION FOR JUMPS IN A HETEROSCEDASTIC REGRESSION MODEL[J].Acta Mathematica Scientia,2002,22(2):269-276. |
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| Authors: | Ren Haobo Zhao YanmengLi Yuan Xie Zhongjie |
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| Institution: | Ren Haobo Zhao YanmengLi Yuan Xie ZhongjieDepartment of Probability and Statistics,Peking University,Beijing 100871,ChinaDepartment of Mathematical Eduation,Shenzhen University,Shenzhen 518060,ChinaDepartment of Mathematics,Guangzhou University,G |
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| Abstract: | Wavelets are applied to detect the jumps in a heteroscedastic regression model. It is shown that the wavelet coefficients of the data have significantly large absolute values across fine scale levels near the jump points. Then a procedure is developed to estimate the jumps and jump heights. All estimators are proved to be consistent. |
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| Keywords: | Heteroscedastic regression model jumps wavelets |
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