Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance
文献类型：期刊论文
| 作者 | Zhou, Yong2,3 ; Wan, Alan T. K.1; Xie, Shangyu2; Wang, Xiaojing2,4
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| 刊名 | JOURNAL OF ECONOMETRICS
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| 出版日期 | 2010-11-01 |
| 卷号 | 159期号:1页码:183-201 |
| 关键词 | lambda-sharp cusp Asymptotic Distribution Convergence Discretized estimator Integral estimator Jump Leave-one-out cross validation Lipschitz continuous Normal distribution Resolution level selection |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2010.06.001 |
| 英文摘要 | In this paper we develop wavelet methods for detecting and estimating jumps and cusps in the mean function of a non-parametric regression model. An important characteristic of the model considered here is that it allows for conditional heteroscedastic variance, a feature frequently encountered with economic and financial data. Wavelet analysis of change-points in this model has been considered in a limited way in a recent study by Chen et al. (2008) with a focus on jumps only. One problem with the aforementioned paper is that the test statistic developed there has an extreme value null limit distribution. The results of other studies have shown that the rate of convergence to the extreme value distribution is usually very slow, and critical values derived from this distribution tend to be much larger than the true ones. Here, we develop a new test and show that the test statistic has a convenient null limit N(0,1) distribution. This feature gives the proposed approach an appealing advantage over the existing approach. Another attractive feature of our results is that the asymptotic theory developed here holds for both jumps and cusps. Implementation of the proposed method for multiple jumps and cusps is also examined. The results from a simulation study show that the new test has excellent power and the estimators developed also yield very accurate estimates of the positions of the discontinuities. (C) 2010 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Funds for Distinguished Young Scholar[70825004] ; National Natural Science Foundation of China (NSFC[10628104] ; National Natural Science Foundation of China (NSFC[10731010] ; National Basic Research Program[2007CB814902] ; Creative Research Groups of China[10721101] ; Shanghai University of Finance and Economics[B803] ; Hong Kong Research Grant Council[CityU-102508] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000282926000012 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/11228]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Shanghai Univ Finance & Econ, Dept Stat, Shanghai 200433, Peoples R China 4.Duke Univ, Dept Stat Sci, Durham, NC 27708 USA |
| 推荐引用方式 GB/T 7714 | Zhou, Yong,Wan, Alan T. K.,Xie, Shangyu,et al. Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance[J]. JOURNAL OF ECONOMETRICS,2010,159(1):183-201. |
| APA | Zhou, Yong,Wan, Alan T. K.,Xie, Shangyu,&Wang, Xiaojing.(2010).Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance.JOURNAL OF ECONOMETRICS,159(1),183-201. |
| MLA | Zhou, Yong,et al."Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance".JOURNAL OF ECONOMETRICS 159.1(2010):183-201. |
入库方式： OAI收割
来源：数学与系统科学研究院
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