Wavelet linear density estimation for a GARCH model under various dependence structures

MaRDI QIDQ4906613zbMATH OpenFDO

Authors Christophe Chesneau, Hassan Doosti

Publication date 28 February 2013

Full work available at URL http://jirss.irstat.ir/browse.php?a_id=172&slc_lang=en&sid=1&ftxt=1

zbMATH Keywords

dependent sequenceGARCH modelslinear estimatorrate of convergencewavelets

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20)

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Cited in

(10)

• Wavelet estimation for derivative of a density in the presence of additive noise
• Adaptive wavelet estimations for the derivative of a density in GARCH-type model
• A general result on the mean integrated squared error of the hard thresholding wavelet estimator under \(\alpha\)-mixing dependence
• Wavelet estimation for derivative of a density in a GARCH-type model
• Adaptive density estimation for general ARCH models
• scientific article; zbMATH DE number 5578022 (Why is no real title available?)
• Adaptive wavelet estimation of a function from an m-dependent process with possibly unbounded m
• Adaptive and optimal point-wise estimations for densities in GARCH-type model by wavelets
• Wavelet estimation of a density in a GARCH-type model
• Spectral analysis for GARCH processes through a bilinear representation

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