Uniform bound for strong mixing coefficient and maximum of residual empirical process of ARCH sequence

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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).
in Russian, 28 pages

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Statistics Theory, 62G05; 62G35

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http://salesiana.dossiersoluciones.com/handle/123456789/131207

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0610747
 http://arxiv.org/abs/math/0610747

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arXiv