Detection of jumps by wavelets in a heteroscedastic autoregressive model

DOI10.1016/S0167-7152(00)00218-2zbMath0985.62075WikidataQ128081567 ScholiaQ128081567MaRDI QIDQ5951989

Heung Wong, Yu'an Li, Wai-Cheung Ip

Publication date: 6 March 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

jumpsheteroscedasticityautoregressive model

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40)

Related Items (6)

Change-point detection for continuous processes with high-frequency sampling ⋮ Detection of jumps by wavelets in a heteroscedastic autoregressive model ⋮ Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance ⋮ Jump detection in time series nonparametric regression models: a polynomial spline approach ⋮ A solution for the greedy approximation of a step function with a waveform dictionary ⋮ Nonparametric estimation of structural change points in volatility models for time series

Cites Work

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• Nonparametric function estimation involving time series
• Kernel-type estimators of jump points and values of a regression function
• The wavelet detection of hidden periodicities in time series
• Detection of the number, locations and magnitudes of jumps
• Jump and sharp cusp detection by wavelets
• Detection of jumps by wavelets in a heteroscedastic autoregressive model

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