DOAJ Open Access 2018

Smoothed Conditional Scale Function Estimation in AR(1)-ARCH(1) Processes

Lema Logamou Seknewna Peter Mwita Nyamuhanga Benjamin Kyalo Muema

Abstrak

The estimation of the Smoothed Conditional Scale Function for time series was taken out under the conditional heteroscedastic innovations by imitating the kernel smoothing in nonparametric QAR-QARCH scheme. The estimation was taken out based on the quantile regression methodology proposed by Koenker and Bassett. And the proof of the asymptotic properties of the Conditional Scale Function estimator for this type of process was given and its consistency was shown.

Topik & Kata Kunci

Probabilities. Mathematical statistics

Penulis (3)

Lema Logamou Seknewna

Peter Mwita Nyamuhanga

Benjamin Kyalo Muema

Format Sitasi

APA MLA BibTeX

Seknewna, L.L., Nyamuhanga, P.M., Muema, B.K. (2018). Smoothed Conditional Scale Function Estimation in AR(1)-ARCH(1) Processes. https://doi.org/10.1155/2018/4816716

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Informasi Jurnal

Tahun Terbit: 2018
Sumber Database: DOAJ
DOI: 10.1155/2018/4816716
Akses: Open Access ✓