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

DOI10.1016/J.SPL.2007.10.004MaRDI QIDQ927367zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• On some global measures of the deviations of density function estimates
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• The efficiency of the estimators of the parameters in GARCH processes.
• \(L_{p}\)-estimators in ARCH models

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
• scientific article; zbMATH DE number 2078185 (Why is no real title available?)

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