Asymptotics of L_\lambda -Norms of ARCH(p) Innovation Density Estimators

DOI10.1007/978-3-319-02651-0_3MaRDI QIDQ5167875zbMATH OpenOpenAlexFDO

Authors Fuxia Cheng

Publication date 2 July 2014

Published in Contemporary Developments in Statistical Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02651-0_3

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• \(L_{p}\)-estimators in ARCH models
• A goodness-of-fit test for GARCH innovation density
• ARCH models and financial applications
• Asymptotic of the L_r-norm of density estimators in the autoregressive time series
• Asymptotic properties in ARCH(p)-time series
• Asymptotics for L2-norm of ARCH innovation density estimator
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Central limit theorems for \(L_ p\)-norms of density estimators
• Extended Glivenko-Cantelli theorem in ARCH(p)-time series
• scientific article; zbMATH DE number 3437452 (Why is no real title available?)
• Residual analysis for \(\text{ARCH}(p)\)-time series.
• Root-\(n\) consistent density estimators of convolutions in weighted \(L_{1}\)-norms
• Splitting a Single State of a Stationary Process into Markovian States
• The \(L_{1}\) strong consistency of ARCH innovation density estimator

Cited in

(1)

• Asymptotics for L2-norm of ARCH innovation density estimator

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