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The functions \\(a_i(.)\\) are defined on \\([0,1]\\) and the considered model is  \\[ X_{t,T}+\\sum_{i=1}^p a_i (t/T) X_{t-i,T} = \\sigma(t/T)\\varepsilon_t, \\]  where \\(\\varepsilon_t\\) are i.i.d.~\\((0,1)\\) variables. Define \\(\\phi_{l, k}=2^{l/2}\\phi(2^l x-k)\\), \\(\\psi_{jk}=2^{j/2}\\psi(2^j x-k)\\), where \\(\\phi\\) and \\(\\psi\\) are a given scaling function and a given wavelet, respectively. Assume that \\(\\{\\phi_{lk}(.)\\}_{k\\in\\mathbb Z} \\cup \\{\\psi_{jk}(.)\\}_{j\\geq l;k\\in \\mathbb Z}\\) forms an orthonormal basis of \\(L_2(\\mathbb R)\\). Then \\(a_i\\) can be expanded in an orthogonal series  \\[ a_i=\\sum_k a_{lk}^{(i)} \\phi_{lk}+\\sum_{j\\geq l}\\sum_k \\beta_{jk}^{(i)} \\psi_{jk}. \\]  The empirical wavelet coefficients are derived using a least-squares method. Nonlinear thresholding is applied to the empirical wavelet coefficients \\(\\beta_{jk}^{(i)}\\). Hard thresholding is given by \\(\\delta^{(\\text{h})} (\\tilde{\\beta}_{jk}^{(i)}, \\lambda)= \\tilde{\\beta}_{jk}^{(i)} I(|\\tilde{\\beta}_{jk}^{(i)}|\\geq \\lambda)\\) and soft thresholding is defined by \\(\\delta^{(\\text{s})} (\\tilde{\\beta}_{jk}^{(i)}, \\lambda)=\\) \\(=(|\\tilde{\\beta}_{jk}^{(i)}|-\\lambda)_{+}\\text{sgn}(\\tilde{\\beta}_{jk}^{(i)})\\). The resulting estimators attain the usual minimax \\(L_2\\) rates up to a logarithmic factor. 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