We obtain a strong approximation for the empirical process of
n observe delements of a GARCH sequence. The weak convergence of the
empirical process and the law of the iterated logarithm are immediate
consequences.
Publié le : 2001-08-14
Classification:
GARCH ($p, q$),
empirical process,
strong approximation,
rates of convergence,
estimates for increments,
60F17,
60G50
@article{1015345349,
author = {Berkes, Istv\'an and Horv\'ath, Lajos},
title = {Strong approximation of the empirical process of Garch
sequences},
journal = {Ann. Appl. Probab.},
volume = {11},
number = {2},
year = {2001},
pages = { 789-809},
language = {en},
url = {http://dml.mathdoc.fr/item/1015345349}
}
Berkes, István; Horváth, Lajos. Strong approximation of the empirical process of Garch
sequences. Ann. Appl. Probab., Tome 11 (2001) no. 2, pp. 789-809. http://gdmltest.u-ga.fr/item/1015345349/