Article ID Journal Published Year Pages File Type
1154959 Statistics & Probability Letters 2011 4 Pages PDF
Abstract
In this paper we consider the global property for the innovation density estimator in ARCH time series. For the kernel innovation density estimator based on residuals, we obtain its strong consistency under L1-norm.
Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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The L1 strong consistency of ARCH innovation density estimator
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