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August 2001 Strong approximation of the empirical process of Garch sequences
István Berkes, Lajos Horváth
Ann. Appl. Probab. 11(3): 789-809 (August 2001). DOI: 10.1214/aoap/1015345349

Abstract

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.

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István Berkes. Lajos Horváth. "Strong approximation of the empirical process of Garch sequences." Ann. Appl. Probab. 11 (3) 789 - 809, August 2001. https://doi.org/10.1214/aoap/1015345349

Information

Published: August 2001
First available in Project Euclid: 5 March 2002

zbMATH: 1014.60033
MathSciNet: MR1865024
Digital Object Identifier: 10.1214/aoap/1015345349

Subjects:
Primary: 60F17
Secondary: 60G50

Keywords: empirical process , estimates for increments , GARCH ($p, q$) , rates of convergence , strong approximation

Rights: Copyright © 2001 Institute of Mathematical Statistics

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Vol.11 • No. 3 • August 2001
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