Volume 11, Issue 1 (March 2012)
JIRSS 2012, 11(1): 1-21 |
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Chesneau C, Doosti H. Wavelet Linear Density Estimation for a GARCH Model under Various Dependence Structures. JIRSS. 2012; 11 (1) :1-21
URL: http://jirss.irstat.ir/article-1-172-en.html
URL: http://jirss.irstat.ir/article-1-172-en.html
Abstract: (10817 Views)
We consider n observations from the GARCH-type model:
S = σ2Z, where σ2 and Z are independent random variables. We develop
a new wavelet linear estimator of the unknown density of σ2 under
four different dependence structures: the strong mixing case, the β-
mixing case, the pairwise positive quadrant case and the ρ-mixing case.
Its asymptotic mean integrated squared error properties are explored.
In each case, we prove that it attains a fast rate of convergence.
Subject:
60: Probability theory and stochastic processes
Received: 2012/03/3 | Accepted: 2015/09/12
Received: 2012/03/3 | Accepted: 2015/09/12
