Detection of jumps by wavelets in a heteroscedastic autoregressive model
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Publication:5951989
DOI10.1016/S0167-7152(00)00218-2zbMath0985.62075MaRDI QIDQ5951989
Heung Wong, Wai-Cheung Ip, Yu'an Li
Publication date: 6 March 2002
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
62G08: Nonparametric regression and quantile regression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems
Related Items
Detection of jumps by wavelets in a heteroscedastic autoregressive model, Change-point detection for continuous processes with high-frequency sampling
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