条件异方差双门限自回归模型的门限和延时的小波估计

WAVELET ESTIMATION OF THRESHOLDS AND TIME DELAY FOR A DOUBLE-THRESHOLD AUTOREGRESSIVE HETEROSCEDASTIC TIME SERIES MODEL

本文讨论了条件异方差双门限自回归模型的门限和延时的识别问题．通过经验小波系数；给出了门限个数和门限以及延时的估计．在较弱的条件下，证明了所给的估计是相合的．

Identification of thresholds and time delay for a double-threshold autoregressive heteroscedastic time series models is considered in this paper. The estimators of the thresh olds and time delay are given by empirical weavelet coefficients. Under mild conditions, it shows that these estimators are consistent.