Wavelet estimation of a density in a GARCH-type model
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Publication:5299063
DOI10.1080/03610926.2011.575516zbMATH Open1298.62061OpenAlexW2076757728MaRDI QIDQ5299063FDOQ5299063
Authors: Christophe Chesneau 
Publication date: 25 June 2013
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2011.575516
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- Adaptive density estimation for general ARCH models
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
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- Adaptive density estimation for general ARCH models
Cited In (14)
- A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
- Wavelet estimation for derivative of a density in the presence of additive noise
- Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
- Nonparametric density and survival function estimation in the multiplicative censoring model
- Wavelet linear density estimation for a GARCH model under various dependence structures
- Adaptive and optimal point-wise estimations for densities in GARCH-type model by wavelets
- Title not available (Why is that?)
- Wavelet estimation for derivative of a density in a GARCH-type model
- -Almost sure convergence for multivariate probability density estimate from dependent observations
- Adaptive density estimation for general ARCH models
- Adaptive wavelet estimations for the derivative of a density in GARCH-type model
- Root-\(T\) consistent density estimation in GARCH models
- Laguerre and Hermite bases for inverse problems
- Adaptive estimation of the hazard rate with multiplicative censoring
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