Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154762 | Statistics & Probability Letters | 2014 | 9 Pages |
Abstract
In this paper we introduce the nonparametric AR(1)–ARCH(1) model and show weak consistency of the Nadaraya–Watson estimators for the model. We propose a residual and a wild bootstrap method and prove weak consistency of the bootstrap estimators.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Kenichi Shimizu,