Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes (Q1658202)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes |
scientific article |
Statements
Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes (English)
0 references
14 August 2018
0 references
Summary: The estimation of the Smoothed Conditional Scale Function for time series was taken out under the conditional heteroscedastic innovations by imitating the kernel smoothing in nonparametric QAR-QARCH scheme. The estimation was taken out based on the quantile regression methodology proposed by Koenker and Bassett. And the proof of the asymptotic properties of the Conditional Scale Function estimator for this type of process was given and its consistency was shown.
0 references
0 references
