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    4,385 Downloads   6,616 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.

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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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