Applied Mathematics

Volume 4, Issue 2 (February 2013)

ISSN Print: 2152-7385   ISSN Online: 2152-7393

Google-based Impact Factor: 0.96  Citations  

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

HTML  Download Download as PDF (Size: 345KB)  PP. 410-416  
DOI: 10.4236/am.2013.42061    4,494 Downloads   6,847 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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Abbaszadeh, M. and Emadi, M. (2013) Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution. Applied Mathematics, 4, 410-416. doi: 10.4236/am.2013.42061.

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