Uniform bound for strong mixing coefficient and maximum of residual empirical process of ARCH sequence
Statistics Theory
2007-06-13 v1 Statistics Theory
Abstract
The paper considers two main results. First one is the uniform bound for strong mixing coefficient of ARCH sequence. Second is the bound for maximum of residual empirical process in the same model. We illustrate their usefulness by proving robustness of two types of estimates (GM and minimum distance).
Keywords
Cite
@article{arxiv.math/0610747,
title = {Uniform bound for strong mixing coefficient and maximum of residual empirical process of ARCH sequence},
author = {Alexey Sorokin},
journal= {arXiv preprint arXiv:math/0610747},
year = {2007}
}
Comments
in Russian, 28 pages