Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions
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Publication:927367
DOI10.1016/J.SPL.2007.10.004zbMath1136.62369OpenAlexW2048738083MaRDI QIDQ927367
Publication date: 5 June 2008
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2007.10.004
Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)
Related Items (3)
A goodness-of-fit test for GARCH innovation density ⋮ On the empirical characteristic function process of the residuals in GARCH models and applications ⋮ Root-\(T\) consistent density estimation in GARCH models
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