Minimum alpha-divergence estimation for arch models (Q3440738)
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scientific article; zbMATH DE number 5158732
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| English | Minimum alpha-divergence estimation for arch models |
scientific article; zbMATH DE number 5158732 |
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Minimum alpha-divergence estimation for arch models (English)
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29 May 2007
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ARCH models
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\(\alpha\)-divergence
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conditional least squares estimator
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residual empirical process
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kernel density estimator
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asymptotic efficiency
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robustness
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0.8110137581825256
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0.7895514965057373
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0.7615464329719543
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0.7585567235946655
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