| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 1153609 | Statistics & Probability Letters | 2008 | 9 Pages |
Abstract
The estimation and identification of the GARCH innovation density is an important task, leading to efficient parameter estimation. In this paper we derive the asymptotic distribution for the sup-norm of a kernel density estimator, and presents a goodness-of-fit test for the innovation density.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nao Mimoto,