TITLE:
Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution
AUTHORS:
Mohammad Abbaszadeh, Mahdi Emadi
KEYWORDS:
Density Estimation; GARCH Model; Weighted Distribution; Wavelets; Statistical Evidences; Strongly Mixing
JOURNAL NAME:
Applied Mathematics,
Vol.4 No.2,
February
28,
2013
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.