Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution

• 作者: Mahdi Emadi Mohammad Abbaszadeh
• 来源期刊: 应用数学(英文)
• 学科: 数学
• 关键词: Density Estimation GARCH Model Weighted Distribution WAVELETS STATISTICAL Evidences STRONGLY MIXING
• 年，卷（期）: 2013,（2）
• 页码范围: 410-416
• 页数: 7页
• 分类号: O1

摘要

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.