The L1 strong consistency of ARCH innovation density estimator

Fuxia Cheng, Miin Jye Wen

Research output: Contribution to journalArticlepeer-review

3 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

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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