The L1 strong consistency of ARCH innovation density estimator

Fuxia Cheng, Miin-Jye Wen

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

In this paper we consider the global property for the innovation density estimator in ARCH time series. For the kernel innovation density estimator based on residuals, we obtain its strong consistency under L1-norm.

Original languageEnglish
Pages (from-to)548-551
Number of pages4
JournalStatistics and Probability Letters
Volume81
Issue number5
DOIs
Publication statusPublished - 2011 May 1

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Autoregressive Conditional Heteroscedasticity
Density Estimator
Strong Consistency
L1-norm
Time series
kernel
Innovation
Estimator
Autoregressive conditional heteroscedasticity
Strong consistency
Kernel

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

Cite this

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The L1 strong consistency of ARCH innovation density estimator. / Cheng, Fuxia; Wen, Miin-Jye.

In: Statistics and Probability Letters, Vol. 81, No. 5, 01.05.2011, p. 548-551.

Research output: Contribution to journalArticle

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