Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models
文献类型：期刊论文
| 作者 | Wai-Cheng, IP; Wong, H |
| 刊名 | BIOMETRIKA
 |
| 出版日期 | 2003-09-01 |
| 卷号 | 90期号:3页码:703-716 |
| 关键词 | heteroscedasticity jump point threshold time delay wavelet |
| ISSN号 | 0006-3444 |
| 英文摘要 | We consider the testing and estimation of thresholds in heteroscedastic threshold auto-regressive models with an unknown number of thresholds. A test statistic based on empirical wavelet coefficients is proposed. The asymptotic distribution of the test statistic is established and consistent estimators of the thresholds and the number of thresholds are given. A Monte Carlo study and a real example are used to assess the performance of our method. |
| WOS研究方向 | Life Sciences & Biomedicine - Other Topics ; Mathematical & Computational Biology ; Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000185456800015 |
| 出版者 | BIOMETRIKA TRUST |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/18358]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wai-Cheng, IP |
| 作者单位 | 1.Hong Kong Polytech Univ, Dept Appl Math, Kowloon, Hong Kong, Peoples R China 2.Guangzhou Univ, Dept Math, Guangzhou 510405, Peoples R China 3.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wai-Cheng, IP,Wong, H. Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models[J]. BIOMETRIKA,2003,90(3):703-716. |
| APA | Wai-Cheng, IP,&Wong, H.(2003).Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models.BIOMETRIKA,90(3),703-716. |
| MLA | Wai-Cheng, IP,et al."Testing and estimation of thresholds based on wavelets in heteroscedastic threshold autoregressive models".BIOMETRIKA 90.3(2003):703-716. |
入库方式： OAI收割
来源：数学与系统科学研究院
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