Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance

DOI10.1016/J.JECONOM.2010.06.001MaRDI QIDQ736698zbMATH OpenOpenAlexFDO

Authors Yong Zhou, Alan T. K. Wan, Shangyu Xie, Xiaojing Wang

Publication date 4 August 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2010.06.001

zbMATH Keywords

asymptotic distributionconvergencenormal distributionjumpLipschitz continuous\(\lambda\)-sharp cuspdiscretized estimatorintegral estimatorleave-one-out cross validationresolution level selection

Mathematics Subject Classification ID

Density estimation (62G07) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(13)

• The wavelet detection of the jump and cusp points of a regression function
• Jump and sharp cusp detection by wavelets
• Wavelet detection of change points in hazard rate models with censored dependent data
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility
• Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México
• Detection of change points in volatility of non-parametric regression by wavelets
• Jump detection in time series nonparametric regression models: a polynomial spline approach
• Wavelet analysis of change points in nonparametric hazard rate models under random censorship
• Wavelet change-point estimation for long memory non-parametric random design models
• Wavelet estimation for jumps in a heteroscedastic regression model
• Detection of jumps by wavelets in a heteroscedastic autoregressive model
• Identification and wavelet estimation of weighted ATE under discontinuous and kink incentive assignment mechanisms
• Detection of the jump points of a heteroscedastic regression model by wavelets

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Uses Software

• wavethresh

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