Ip, Wai-Cheung; Wong, Heung; Li, Yuan; Xie, Zhongjie - In: Statistics & Probability Letters 42 (1999) 4, pp. 375-392
Wavelets are applied to identify the time delay and thresholds in open-loop threshold autoregressive models. Based on Truong and Stone's lemma, the empirical wavelet coefficients of the data are defined. The time delay and thresholds are detected and then estimated by checking the variation of...