Detection and Estimation of Jump Points in Non parametric Regression Function with AR(1) Noise

Dan Wang and Pengjiang Guo

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 6, 1097-1110

Abstract: In this paper, we propose a method based on wavelet analysis to detect and estimate jump points in non parametric regression function. This method is applied to AR(1) noise process under random design. First, the test statistics are constructed on the empirical wavelet coefficients. Then, under the null hypothesis, the critical values of test statistics are obtained. Under the alternative, the consistency of the test is proved. Afterward, the rate of convergence, the estimators of the number, and locations of change points are given theoretically. Finally, the excellent performance of our method is demonstrated through simulations using artificial and real datasets.

Date: 2015
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DOI: 10.1080/03610926.2013.851242

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