Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model

DOI10.1080/10485252.2022.2152813OpenAlexW4311597016MaRDI QIDQ6104904

Chen Zhong

Publication date: 28 June 2023

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2022.2152813

zbMATH Keywords

kernel density estimatorB-splineGlivenko-Cantelli theoremARCH\((p)\)time-varying trend

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Nonparametric inference (62Gxx)

Cites Work

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• Two‐Step Estimation for Time Varying Arch Models
• Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
• A practical guide to splines.

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