Threshold variable selection by wavelets in open-loop threshold autoregressive models
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Publication:1962219
DOI10.1016/S0167-7152(98)00232-6zbMath0951.62078WikidataQ127658670 ScholiaQ127658670MaRDI QIDQ1962219
Heung Wong, Wai-Cheung Ip, Yu'an Li, Zhong-Jie Xie
Publication date: 3 January 2001
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)
Related Items (4)
Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility ⋮ Wavelet Analysis of Change Points in Nonparametric Hazard Rate Models Under Random Censorship ⋮ Threshold variable selection of asymmetric stochastic volatility models ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
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