Minimum alpha-divergence estimation for arch models
DOI10.1111/j.1467-9892.2005.00444.xzbMath1113.62097MaRDI QIDQ3440738
Masanobu Taniguchi, S. Ajay Chandra
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00444.x
robustness; asymptotic efficiency; kernel density estimator; ARCH models; conditional least squares estimator; \(\alpha\)-divergence; residual empirical process
62G07: Density estimation
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G20: Asymptotic properties of nonparametric inference
62G35: Nonparametric robustness
62P05: Applications of statistics to actuarial sciences and financial mathematics
62B10: Statistical aspects of information-theoretic topics
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