A note on uniform convergence of an ARCH() estimator

zbMATH Open1193.62161MaRDI QIDQ3580934FDOQ3580934

Authors: Suhasini Subba Rao 

Publication date: 14 August 2010

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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)

Cited In (2)

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

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