Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions

DOI10.1016/J.SPL.2007.10.004zbMATH Open1136.62369OpenAlexW2048738083MaRDI QIDQ927367FDOQ927367

Authors: Nao Mimoto 

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

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Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

Cites Work

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Cited In (4)

• On the empirical characteristic function process of the residuals in GARCH models and applications
• A goodness-of-fit test for GARCH innovation density
• Root-\(T\) consistent density estimation in GARCH models
• Title not available (Why is that?)

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