Theorem 1 shows that the time-varying threshold estimators (γˆ0, γˆ1, γˆ2, kˆ) are consistent.Hence γˆt = γˆ0 + γˆ1 sin(2πkˆt/T) + γˆ2 cos(2πkˆt/T) is a consistent estimator of the true time-varying threshold γt0 = γ00 + γ10 sin(2πk0t/T ) + γ20 cos(2πk0t/T). The consistency of the threshold estimator implies that the observations can be correctly classified into subsets, and hence the true model parameters β1 and β2 in (1) can be consistently estimated.