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

Mohammad Abbaszadeh, Mahdi Emadi

Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran.

DOI: 10.4236/am.2013.42061                

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

Conflicts of Interest

The authors declare no conflicts of interest.

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