Title of article
Wavelet Linear Density Estimation for a GARCH Model under Various Dependence Structures
Author/Authors
Chesneau, Christophe Universit´e de Caen Basse-Normandie, Campus II - Laboratoire de Math´ematiques Nicolas Oresme, France , Doosti, Hassan kharazmi university (university of tarbiat moallem) - Department of Mathematics, تهران, ايران
From page
1
To page
21
Abstract
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
Keywords
Dependent sequence , GARCH models , linear estimator , rate of convergence , wavelets
Journal title
Journal of the Iranian Statistical Society (JIRSS)
Journal title
Journal of the Iranian Statistical Society (JIRSS)
Record number
2578563
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