The L₁ strong consistency of ARCH innovation density estimator

DOI10.1016/J.SPL.2011.01.001MaRDI QIDQ633047zbMATHOpenAlexFDO

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

zbMATH Keywords

strong consistencykernel density estimation\(L_{1}\)-normARCH-time series

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Asymptotics for L2-norm of ARCH innovation density estimator
• Kernel density estimation and extended CLT and SLLN in ARCH\((p)\)-time series
• Asymptotic properties in ARCH(p)-time series
• \(L_{p}\)-estimators in ARCH models
• Asymptotic of the \(L_r\)-norm of density estimators in the autoregressive time series

Cites work

• ARCH models and financial applications
• Asymptotic properties in ARCH(p)-time series
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series
• Residual analysis for \(\text{ARCH}(p)\)-time series.
• The equivalence of weak, strong, and complete convergence in \(L_ 1\) for kernel density estimates
• \(L_{p}\)-estimators in ARCH models

Cited in

(5)

• Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
• Extended Glivenko–Cantelli theorem and L₁ strong consistency of innovation density estimator for time-varying semiparametric ARCH model
• Asymptotic properties in ARCH(p)-time series
• 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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