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https://doi.org/10.1023/A:1017928823619
Title: | Asymptotics for wavelet based estimates of piecewise smooth regression for stationary time series | Authors: | Truong, Y.K. Patil, P.N. |
Keywords: | Convergence rate Density estimation Nonparametric regression Piecewise-smoothness Wavelet |
Issue Date: | 2001 | Citation: | Truong, Y.K., Patil, P.N. (2001). Asymptotics for wavelet based estimates of piecewise smooth regression for stationary time series. Annals of the Institute of Statistical Mathematics 53 (1) : 159-178. ScholarBank@NUS Repository. https://doi.org/10.1023/A:1017928823619 | Abstract: | Wavelet methods are used to estimate density and (auto-) regression functions that are possibly discontinuous. For stationary time series that satisfy appropriate mixing conditions, we derive mean integrated squared errors (MISEs) of wavelet-based estimators. In contrast to the case for kernel methods, the MISEs of wavelet-based estimators are not affected by the presence of discontinuities in the curves. Applications of this approach to problems of identification of nonlinear time series models are discussed. | Source Title: | Annals of the Institute of Statistical Mathematics | URI: | http://scholarbank.nus.edu.sg/handle/10635/105031 | ISSN: | 00203157 | DOI: | 10.1023/A:1017928823619 |
Appears in Collections: | Staff Publications |
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