Inference of Jumps Using Wavelet Variance

Heng Chen and Mototsugu Shintani
Additional contact information
Mototsugu Shintani: Faculty of Economics, The University of Tokyo

No CARF-F-527, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: We consider the statistical inference of jumps in nonparametric regression models with long memory noise. A test statistic is proposed for the presence of jumps based on a robust estimator of the variance of the wavelet coefficients. The sequential applications of tests allow us to estimate the number of jumps and their locations. In comparison with the existing inference procedure, in which test statistic converges very slowly to the extreme value distribution, ours processes a more accurate finite sample performance derived from the asymptotic normality of our test statistic.

Pages: 42
Date: 2021-11
New Economics Papers: this item is included in nep-ecm and nep-ore
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.carf.e.u-tokyo.ac.jp/admin/wp-content/uploads/2021/11/F527.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cfi:fseres:cf527

Access Statistics for this paper

More papers in CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo Contact information at EDIRC.
Bibliographic data for series maintained by ().