The L1 strong consistency of ARCH innovation density estimator

Fuxia Cheng and Miin-Jye Wen

Statistics & Probability Letters, 2011, vol. 81, issue 5, 548-551

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: ARCH-time; series; Kernel; density; estimation; Strong; consistency; L1-norm (search for similar items in EconPapers)
Date: 2011
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