Abstract
The following heteroscedastic regression model Y i = g(x i) + σ i e i (1 ≤ i ≤ n) is considered, where it is assumed that σ 2i = f(u i), the design points (x i, u i) are known and nonrandom, g and f are unknown functions. Under the unobservable disturbance e i form martingale differences, the asymptotic normality of wavelet estimators of g with f being known or unknown function is studied.
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Partially supported by the National Natural Science Foundation of China (10571136).
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Liang, H., Lu, Y. Asymptotic normality of wavelet estimator in heteroscedastic regression model. Appl. Math.- J. Chin. Univ. 22, 453–459 (2007). https://doi.org/10.1007/s11766-007-0411-2
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DOI: https://doi.org/10.1007/s11766-007-0411-2