Optimal rates in the Bahadur-Kiefer representation for GARCH sequences

Details Optimal rates in the Bahadur-Kiefer representation for GARCH sequences Optimal rates in the Bahadur-Kiefer representation for GARCH sequences

2006-05-10

arxiv.org/abs/math/0605283v1

Mathematics

Statistics Theory

12 pages

Scientific paper

In this paper we establish the Bahadur-Kiefer representation for sample
quantiles of GARCH sequences with optimal rates.

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