The L₁ strong consistency of ARCH innovation density estimator
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Publication:633047
DOI10.1016/J.SPL.2011.01.001zbMATH Open1209.62200OpenAlexW2025816493MaRDI QIDQ633047FDOQ633047
Authors: Fuxia Cheng, Miin-Jye Wen 
Publication date: 31 March 2011
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.001
Recommendations
- Asymptotics for L2-norm of ARCH innovation density estimator
- Kernel density estimation and extended CLT and SLLN in ARCH\((p)\)-time series
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- Asymptotic of the \(L_r\)-norm of density estimators in the autoregressive time series
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH models and financial applications
- The equivalence of weak, strong, and complete convergence in \(L_ 1\) for kernel density estimates
- Asymptotic properties in ARCH(p)-time series
- \(L_{p}\)-estimators in ARCH models
- Residual analysis for \(\text{ARCH}(p)\)-time series.
- Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series
Cited In (5)
- Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
- Asymptotic properties in ARCH(p)-time series
- Asymptotics for L2-norm of ARCH innovation density estimator
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- Kernel density estimation and extended CLT and SLLN in ARCH\((p)\)-time series
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