Threshold variable selection by wavelets in open-loop threshold autoregressive models

✍ Scribed by Wai-Cheung Ip; Heung Wong; Yuan Li; Zhongjie Xie

• Book ID: 104303013
• Publisher: Elsevier Science
• Year: 1999
• Tongue: English
• Weight: 204 KB
• Volume: 42
• Category: Article
• ISSN: 0167-7152
• DOI: 10.1016/s0167-7152(98)00232-6

✦ Synopsis

Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coe cients of the data are deÿned. The time delay and thresholds are detected and then estimated by checking the variation of the empirical wavelet coe cients. All the estimators are shown to be consistent.