噪声为厚尾过程的非参数函数变点的小波估计

本文给出了随机设计下非参数回归模型中噪声为无穷方差过程的小波检测和估计方法。利用基于经验小波系数的检验统计量,在原假设成立的条件下,推导出任意尺度上检验的临界值,证明了检验的一致性;在备择假设成立的条件下,得到变点个数、变点位置的相合估计与收敛速度。数值模拟以及IBM股票数据实例分析的结果均表明方法是有效的。

Wavelet Estimation of Change-points in a Nonparametric Regression Function with Heavy-tailed Noise

A wavelet method is proposed to detect and estimate change points in nonparametric regression models under random design,whose noise is a heavy tailed infinite-varianced process.If the null hypothesis holds,we obtain critical values at any scale and prove the consistency of the test by using the test statistics based on empirical wavelet coeffcients.If the alternative hypothesis holds,we show that the estimation of the numbers and location of change points are consistent.Numerical simulation results as well...