Title of article
Asymptotics for L2-norm of ARCH innovation density estimator
Author/Authors
Cheng، نويسنده , , Fuxia and Sun، نويسنده , , Shuxia and Wen، نويسنده , , Miin-Jye Wen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
9
From page
3771
To page
3779
Abstract
In this paper we consider the asymptotic properties of the ARCH innovation density estimator. We obtain the asymptotic normality of the Bickel–Rosenblatt test statistic (based on our density estimator) under the null hypothesis, which is the same as in the case of the one sample set up (given in Bickel and Rosenblatt, 1973). We also show the strong consistency of the estimator for the true density in L2-norm.
Keywords
L2-norm , Kernel density estimation , Goodness-of-fit test , ARCH-time series
Journal title
Journal of Statistical Planning and Inference
Serial Year
2011
Journal title
Journal of Statistical Planning and Inference
Record number
2221665
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