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

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DOI: 10.4236/am.2013.42061    3,893 Downloads   5,719 Views   Citations

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.

Conflicts of Interest

The authors declare no conflicts of interest.

Cite this paper

M. Abbaszadeh and M. Emadi, "Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution," Applied Mathematics, Vol. 4 No. 2, 2013, pp. 410-416. doi: 10.4236/am.2013.42061.

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