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

DOI10.1016/J.SPL.2007.10.004zbMath1136.62369OpenAlexW2048738083MaRDI QIDQ927367

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) 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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Stationarity of GARCH processes and of some nonnegative time series
• Strict stationarity of generalized autoregressive processes
• Efficient estimation in semiparametric GARCH models
• GARCH processes: structure and estimation
• \(L_{p}\)-estimators in ARCH models
• Generalized autoregressive conditional heteroscedasticity
• The efficiency of the estimators of the parameters in GARCH processes.
• Kernel density estimators: convergence in distribution for weighted sup-norms
• On some global measures of the deviations of density function estimates
• High moment partial sum processes of residuals in GARCH models and their applications
• A note on the Bickel\,-\,Rosenblatt test in autoregressive time series
• Estimation of GARCH Models from the Autocorrelations of the Squares of a Process
• TESTING GOODNESS OF FIT BASED ON DENSITIES OF GARCH INNOVATIONS
• Consistency and Asymptotic Normality of the Quasi-Maximum Likelihood Estimator in IGARCH(1,1) and Covariance Stationary GARCH(1,1) Models

This page was built for publication: Convergence in distribution for the sup-norm of a kernel density estimator for GARCH inno\-va\-tions