Nonparametric Estimation of the Density Function of the Distribution of the Noise in CHARN Models

被引：2

作者：

Ngatchou-Wandji, Joseph ^{[1
,2
]}

Ltaifa, Marwa ^{[2
]}

Njamen Njomen, Didier Alain ^{[3
]}

Shen, Jia ^{[4
]}

机构：

[1] EHESP French Sch Publ Hlth, F-35043 Rennes, France

[2] Univ Lorraine, Inst Elie Cartan Lorraine, F-54052 Vandoeuvre Les Nancy, France

[3] Univ Maroua, Dept Math & Comp Sci, Fac Sci, POB 814, Maroua, Cameroon

[4] Fudan Univ, Dept Stat, Shanghai 200433, Peoples R China

来源：

MATHEMATICS | 2022年 / 10卷 / 04期

关键词：

nonlinear heteroscedastic model; kernel estimation; REGRESSION FUNCTION; VOLATILITY FUNCTIONS; EFFICIENT ESTIMATION; UNIFORM CONSISTENCY; VARIANCE-FUNCTION; SPOT VOLATILITY; CONVERGENCE; THRESHOLD; CURVES;

D O I：

10.3390/math10040624

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This work is concerned with multivariate conditional heteroscedastic autoregressive nonlinear (CHARN) models with an unknown conditional mean function, conditional variance matrix function and density function of the distribution of noise. We study the kernel estimator of the latter function when the former are either parametric or nonparametric. The consistency, bias and asymptotic normality of the estimator are investigated. Confidence bound curves are given. A simulation experiment is performed to evaluate the performance of the results.

引用

页数：20

共 50 条

[21] Multiscale generalised linear models for nonparametric function estimation
Kolaczyk, ED
Nowak, RD
BIOMETRIKA, 2005, 92 (01) : 119 - 133
[22] Error variance function estimation in nonparametric regression models
Alharbi, Yousef F.
Patili, Prakash N.
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2018, 47 (05) : 1479 - 1491
[23] NONPARAMETRIC FUNCTION ESTIMATION UNDER FOURIER-OSCILLATING NOISE
Delaigle, Aurore
Meister, Alexander
STATISTICA SINICA, 2011, 21 (03) : 1065 - 1092
[24] NONPARAMETRIC ESTIMATION OF TRANSITION DISTRIBUTION FUNCTION OF A MARKOV PROCESS
ROUSSAS, GG
ANNALS OF MATHEMATICAL STATISTICS, 1968, 39 (02): : 693 - &
[25] Nonparametric Bayes estimation of a distribution function with truncated data
Gasparini, M
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 1996, 55 (03) : 361 - 369
[26] Nonparametric Estimation of Distribution Function using Bezier Curve
Bae, Whasoo
Kim, Ryeongah
Kim, Choongrak
COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2014, 21 (01) : 105 - 114
[27] NONPARAMETRIC ESTIMATION OF TRANSITION DISTRIBUTION FUNCTION OF A MARKOV PROCESS
ROUSSAS, GG
ANNALS OF MATHEMATICAL STATISTICS, 1969, 40 (04): : 1386 - &
[28] NONPARAMETRIC EMPIRICAL BAYES ESTIMATION OF THE DISTRIBUTION FUNCTION AND THE MEAN
GHOSH, M
LAHIRI, P
TIWARI, RC
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1989, 18 (01) : 121 - 146
[29] A Review of Nonparametric Research on Cumulative Distribution Function Estimation
Mansouri, Behzad
Chinipardaz, Rahim
Al-Farttosi, Sami Atiyah Sayyid
Mombeni, Habib Allah
JOURNAL OF THE INDIAN SOCIETY FOR PROBABILITY AND STATISTICS, 2024, 25 (02) : 739 - 760
[30] NONPARAMETRIC DENSITY ESTIMATION
WEGMAN, EJ
ANNALS OF MATHEMATICAL STATISTICS, 1969, 40 (06): : 2226 - &

← 1 2 3 4 5 →