Article ID Journal Published Year Pages File Type
10525063 Journal of Statistical Planning and Inference 2011 9 Pages PDF
Abstract
► Asymptotic properties of the ARCH innovation density estimators were considered. ► Asymptotic normality of the Bickel-Rosenblatt test statistic was obtained under null hypothesis. ► The estimator was also shown to be strong consistent under L2-norm.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
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Asymptotics for L2-norm of ARCH innovation density estimator
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