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Wavelet Density Estimation and Statistical Evidences Role for a GARCH Model in the Weighted Distribution

DOI: 10.4236/am.2013.42061, PP. 410-416

Keywords: Density Estimation, GARCH Model, Weighted Distribution, Wavelets, Statistical Evidences, Strongly Mixing

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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.


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