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, andhence the true model parameters β1 and β2 in (1) can be consistently estimated.