AU - Chesneau, Christophe
AU - Doosti, Hassan
TI - Wavelet Linear Density Estimation for a GARCH Model under Various Dependence Structures
PT - JOURNAL ARTICLE
TA - JIRSS
JN - JIRSS
VO - 11
VI - 1
IP - 1
4099 - http://jirss.irstat.ir/article-1-172-en.html
4100 - http://jirss.irstat.ir/article-1-172-en.pdf
SO - JIRSS 1
AB - 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.
CP - IRAN
IN -
LG - eng
PB - JIRSS
PG - 1
PT -
YR - 2012