A note on wavelet density deconvolution for weakly dependent data

DOI10.1007/S11203-007-9013-0MaRDI QIDQ623487zbMATH OpenOpenAlexFDO

Authors Harry van Zanten, Pawel Zareba

Publication date 5 February 2011

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s11203-007-9013-0

zbMATH Keywords

rate of convergencestrong mixingstochastic volatility modelnonparametric deconvolution

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 1235891 (Why is no real title available?)
• scientific article; zbMATH DE number 918590 (Why is no real title available?)
• A note on empirical processes of strong-mixing sequences
• Adaptive wavelet estimator for nonparametric density deconvolution
• An Overview of Wavelet Based Multiresolution Analyses
• Characterization of analytic functions in terms of their wavelet coefficients
• Deconvolution of supersmooth densities with smooth noise
• Deconvolving kernel density estimators
• Density estimation in the presence of noise
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Markov chains and stochastic stability
• Mixing: Properties and examples
• Multivariate probability density deconvolution for stationary random processes
• Nonparametric volatility density estimation
• On the optimal rates of convergence for nonparametric deconvolution problems
• Optimal Rates of Convergence for Deconvolving a Density
• Optimal sampling for density estimation in continuous time
• Sharper bounds for Gaussian and empirical processes
• Stochastic volatility models as hidden Markov models and statistical applications
• Wavelet deconvolution

Cited in

(9)

• A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
• A note on the wavelet deconvolution of a density from mixtures under quadrant dependence
• Density deconvolution with associated stationary data.
• Wavelet estimation of a density in a GARCH-type model
• Nonparametric regression for dependent data in the errors-in-variables problem
• On the adaptive wavelet deconvolution of a density for strong mixing sequences
• ON A STRONGLY CONSISTENT WAVELET DENSITY ESTIMATOR FOR THE DECONVOLUTION PROBLEM
• Estimation of a multivariate stochastic volatility density by kernel deconvolution
• Multichannel deconvolution with long-range dependence: a minimax study

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