Asymptotics for L2-norm of ARCH innovation density estimator
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Publication:719475
DOI10.1016/J.JSPI.2011.06.013zbMATH Open1236.62026OpenAlexW1997998995MaRDI QIDQ719475FDOQ719475
Fuxia Cheng, Miin-Jye Wen, Shuxia Sun
Publication date: 10 October 2011
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jspi.2011.06.013
Recommendations
- Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators
- The \(L_{1}\) strong consistency of ARCH innovation density estimator
- Asymptotic Distributions of Innovation Density Estimators in Linear Processes
- Asymptotic of the \(L_r\)-norm of density estimators in the autoregressive time series
- Asymptotics of the \(L_p\)-norms of density estimators in the nonlinear autoregressive models
- On the asymptotic normality of \(L^2\) estimators
- Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model
- \(L_{p}\)-estimators in ARCH models
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
- On some global measures of the deviations of density function estimates
- Title not available (Why is that?)
- Asymptotic properties in ARCH(p)-time series
- \(L_{p}\)-estimators in ARCH models
- Residual analysis for \(\text{ARCH}(p)\)-time series.
- The \(L_{1}\) strong consistency of ARCH innovation density estimator
- Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series
Cited In (2)
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