Adaptive and optimal point-wise estimations for densities in GARCH-type model by wavelets

DOI10.4208/JCM.2007-M2020-0109MaRDI QIDQ5079545zbMATH OpenOpenAlexFDO

Authors Cong Wu, Jinru Wang, Xiaochen Zeng

Publication date 27 May 2022

Published in Journal of Computational Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4208/jcm.2007-m2020-0109

zbMATH Keywords

data-drivenGARCH-type modelpoint-wise riskthresholdingwavelets

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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Cites work

• A pointwise lower bound for generalized deconvolution density estimation
• Adaptive wavelet estimation of a density from mixtures under multiplicative censoring
• Adaptive wavelet estimations for the derivative of a density in GARCH-type model
• Density estimation by wavelet thresholding
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• Large sample study of empirical distributions in a random-multiplicative censoring model
• Large-sample study of the kernel density estimators under multiplicative censoring
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Multiplicative censoring, renewal processes, deconvolution and decreasing density: Nonparametric estimation
• Multiplicative censoring: Density estimation by a series expansion approach
• Multiplicative censoring: estimation of a density and its derivatives under the L_p-risk
• On adaptive minimax density estimation on R^d
• Point-wise estimation for anisotropic densities
• Pointwise adaptive estimation of a multivariate density under independence hypothesis
• Wavelet adaptive pointwise density estimations with super-smooth noises
• Wavelet estimation for derivative of a density in a GARCH-type model
• Wavelet estimation of a density in a GARCH-type model
• Wavelet linear density estimation for a GARCH model under various dependence structures
• Wavelet optimal estimations for a density with some additive noises
• Wavelets, approximation, and statistical applications

Cited in

(6)

• Adaptive wavelet estimations for the derivative of a density in GARCH-type model
• Wavelet estimation for derivative of a density in a GARCH-type model
• Wavelet adaptive pointwise density estimations with super-smooth noises
• Wavelet linear density estimation for a GARCH model under various dependence structures
• Optimal wavelet estimators of the heteroscedastic pointspread effects and Gauss white noises model
• Wavelet estimation of a density in a GARCH-type model

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