A note on uniform convergence of an ARCH() estimator

MaRDI QIDQ3580934zbMATHFDO

Authors Suhasini Subba Rao

Publication date 14 August 2010

zbMATH Keywords

weighted least squaresnear epoch dependencenonlinear processesmaximal inequalities

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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Cited in

(2)

• Mixing properties of ARCH and time-varying ARCH processes
• Uniform estimates of strong mixing rate coefficients and maximum of residual empirical processes in \(ARCH(p)\)-models

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