【摘 要】
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We consider the estimation of the innovation density and asymptotics of sum of residuals and sum of squared residuals in ARCH(p)-time series.We obtain the w
【机 构】
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Departmentofmathematics,IllinoisStateUniversity
【出 处】
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IMS-China International Conference on Statistics and Probabi
论文部分内容阅读
We consider the estimation of the innovation density and asymptotics of sum of residuals and sum of squared residuals in ARCH(p)-time series.We obtain the weak and strong uniform consistency of the kernel density estimators based on the residuals.The Central Limit Theorem (CLT) and the Strong Law of Large Number (SLLN) are extended to the average of residuals.For the average of squared residuals, we show its weak and strong consistency to the innovation variance.
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