Asymptotics for L2-norm of ARCH innovation density estimator

Fuxia Cheng; Shuxia Sun; Miin Jye Wen

doi:10.1016/j.jspi.2011.06.013

Asymptotics for L2-norm of ARCH innovation density estimator

Fuxia Cheng, Shuxia Sun, Miin Jye Wen

Department of Statistics

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

In this paper we consider the asymptotic properties of the ARCH innovation density estimator. We obtain the asymptotic normality of the Bickel-Rosenblatt test statistic (based on our density estimator) under the null hypothesis, which is the same as in the case of the one sample set up (given in Bickel and Rosenblatt, 1973). We also show the strong consistency of the estimator for the true density in L2-norm.

Original language	English
Pages (from-to)	3771-3779
Number of pages	9
Journal	Journal of Statistical Planning and Inference
Volume	141
Issue number	12
DOIs	https://doi.org/10.1016/j.jspi.2011.06.013
Publication status	Published - 2011 Dec

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/j.jspi.2011.06.013

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abstract = "In this paper we consider the asymptotic properties of the ARCH innovation density estimator. We obtain the asymptotic normality of the Bickel-Rosenblatt test statistic (based on our density estimator) under the null hypothesis, which is the same as in the case of the one sample set up (given in Bickel and Rosenblatt, 1973). We also show the strong consistency of the estimator for the true density in L2-norm.",

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AB - In this paper we consider the asymptotic properties of the ARCH innovation density estimator. We obtain the asymptotic normality of the Bickel-Rosenblatt test statistic (based on our density estimator) under the null hypothesis, which is the same as in the case of the one sample set up (given in Bickel and Rosenblatt, 1973). We also show the strong consistency of the estimator for the true density in L2-norm.

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JO - Journal of Statistical Planning and Inference

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ER -

Asymptotics for L2-norm of ARCH innovation density estimator

Abstract

All Science Journal Classification (ASJC) codes

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