Title : ( Wavelet density estimation and statistical evidences role for a GARCH model in the weighted distribution )
Authors: Mahdi Emadi , Mohammad Abbaszadeh ,
دانلود فایل برای اعضای دانشگاهAccess to full-text not allowed by authors
Abstract
We consider n observations from the GARCH-type model: Z = UY , where U and Y are independent random variables. We aim to estimate density function Y where Y have a weighted distribution. We determine a sharp upper bound of the associated mean integrated square error. We also make use of the measure of expected true evidence, so as to determine when model leads to a crisis and causes data to be lost.
Keywords
Density estimation; GARCH model; Weighted distribution; Wavelets; Statistical evidences; Strongly mixing.
@article{paperid:1031576,
author = {Emadi, Mahdi and Abbaszadeh, Mohammad},
title = {Wavelet density estimation and statistical evidences role for a GARCH model in the weighted distribution},
journal = {Applied Mathematics},
year = {2013},
volume = {4},
number = {2},
month = {February},
issn = {2152-7385},
pages = {1--8},
numpages = {7},
keywords = {Density estimation; GARCH model; Weighted distribution; Wavelets; Statistical evidences; Strongly mixing.},
}
%0 Journal Article
%T Wavelet density estimation and statistical evidences role for a GARCH model in the weighted distribution
%A Emadi, Mahdi
%A Abbaszadeh, Mohammad
%J Applied Mathematics
%@ 2152-7385
%D 2013
