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Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution
Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran
Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran
- 1 Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran
- 2 Department of Statistics, Ferdowsi University of Mashhad, Mashhad, Iran
Applied Mathematics·Volume 04 (2013)·Pages 410–416·Published 22 February 2013·DOI10.4236/am.2013.42061
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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.
KeywordsDensity EstimationGARCH ModelWeighted DistributionWaveletsStatistical EvidencesStrongly Mixing
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