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

DOI10.1093/BIOMET/90.3.703MaRDI QIDQ2813883zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heteroscedasticitythresholdtime delaywaveletjump point

Mathematics Subject Classification ID

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

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