The wavelet identification for jump points of derivative in regression model

A method is proposed to detect the number, locations and heights of jump points of the derivative in the regressive model [eta]i=f([xi]i)+[var epsilon]i, by checking if the empirical indirect wavelet coefficients of data have significantly large absolute values across fine scale levels. The consistency of the estimators is established and practical implementation is discussed. Some simulation examples are given to test our method.

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Year of publication:	2001
Authors:	Luan, Yihui ; Xie, Zhongjie
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 53.2001, 2, p. 167-180
Publisher:	Elsevier
Keywords:	Wavelets Scale function Derivative Stationary Jump

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223681