scientific article; zbMATH DE number 1223290
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Publication:4218591
zbMath0921.62063MaRDI QIDQ4218591
Publication date: 5 October 1999
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
influence functionrobust estimationARCH modelresidual empirical processgross error sensitivityrank estimators
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Order statistics; empirical distribution functions (62G30)
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Generalized R-estimators under conditional heteroscedasticity ⋮ Efficient prediction for linear and nonlinear autoregressive models ⋮ Extended Glivenko–Cantelli theorem and L1 strong consistency of innovation density estimator for time-varying semiparametric ARCH model ⋮ Estimating the Error Distribution in a Single-Index Model ⋮ Estimating linear functionals of the error distribution in nonparametric regression ⋮ Statistical estimation errors of VaR under ARCH returns ⋮ The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process ⋮ Fitting an error distribution in some heteroscedastic time series models ⋮ Estimating the innovation distribution in nonparametric autoregression ⋮ Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models ⋮ Empirical process of the squared residuals of an ARCH sequence ⋮ Limit results for the empirical process of squared residuals in GARCH models.
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