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

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

2006-10-25

arxiv.org/abs/math/0610747v1

Mathematics

Statistics Theory

in Russian, 28 pages

Scientific paper

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).

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