Chen, Gongmeng; Choi, Yoon K.; Zhou, Yong - In: Journal of Econometrics 143 (2008) 2, pp. 227-262
In this paper, we propose two estimators, an integral estimator and a discretized estimator, for the wavelet coefficient of regression functions in nonparametric regression models with heteroscedastic variance. These estimators can be used to test the jumps of the regression function. The model...
