A wavelet method of detection and estimation of change points in nonparametric regression models under random design is proposed. The confidence bound of our test is derived by using the test statistics based on empir...A wavelet method of detection and estimation of change points in nonparametric regression models under random design is proposed. The confidence bound of our test is derived by using the test statistics based on empirical wavelet coefficients as obtained by wavelet transformation of the data which is observed with noise. Moreover, the consistence of the test is proved while the rate of convergence is given. The method turns out to be effective after being tested on simulated examples and applied to IBM stock market data.展开更多
基金the National Natural Science Foundation of China （No. 60375003） the Astronautics Basal Science Foundation of China （No. 03153059）.
文摘A wavelet method of detection and estimation of change points in nonparametric regression models under random design is proposed. The confidence bound of our test is derived by using the test statistics based on empirical wavelet coefficients as obtained by wavelet transformation of the data which is observed with noise. Moreover, the consistence of the test is proved while the rate of convergence is given. The method turns out to be effective after being tested on simulated examples and applied to IBM stock market data.
