On conditional scale function: estimate and asymptotic properties

MaRDI QIDQ2460769zbMATH OpenFDO

Authors Peter N. Mwita

Publication date 13 November 2007

Published in African Diaspora Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

ARCHasymptotic normalityconditional quantileconsistencykernel estimateQARCHquantile autoregressiontime seriesvalue-at-risk

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(3)

• Smoothed conditional scale function estimation in AR(1)-ARCH(1) processes
• On conditional scale functions: estimate and asymptotic properties
• Estimation of scale functions to model heteroscedasticity by regularised kernel-based quantile methods

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