Adaptive density estimation for general ARCH models
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Abstract: We consider a model in which is not independent of the noise process , but is independent of for each . We assume that is stationary and we propose an adaptive estimator of the density of based on the observations . Under various dependence structures, the rates of this nonparametric estimator coincide with the minimax rates obtained in the i.i.d. case when and are independent, in all cases where these minimax rates are known. The results apply to various linear and non linear ARCH processes.
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Cited in
(11)- Wavelet estimation for derivative of a density in a GARCH-type model
- Kernel density estimation and extended CLT and SLLN in ARCH\((p)\)-time series
- Autoregressive Conditional Density Estimation
- Wavelet linear density estimation for a GARCH model under various dependence structures
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- Wavelet estimation of a density in a GARCH-type model
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