Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models

DOI10.1093/BIOMET/90.3.703zbMATH Open1436.62428OpenAlexW2138277881MaRDI QIDQ2813883FDOQ2813883

Authors: Heung Wong, Hongzhi An, Wai-cheung Ip, Yuan Li 

Publication date: 27 June 2016

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/90.3.703

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zbMATH Keywords

heteroscedasticitythresholdtime delaywaveletjump point

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited In (4)

• Miscellanea. Score tests for heteroscedasticity in wavelet regression
• Wavelet estimation of thresholds and time delay for a double-threshold autoregressive heteroscedastic time series model
• The adaptivity of thresholding wavelet estimators in heteroscedastic nonparametric model with negatively super-additive dependent errors
• Title not available (Why is that?)

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