Volume 11, Issue 1 (March 2012)                   JIRSS 2012, 11(1): 1-21 | Back to browse issues page

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Abstract:   (11104 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.
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Subject: 60: Probability theory and stochastic processes
Received: 2012/03/3 | Accepted: 2015/09/12