Strong approximation of the empirical process of GARCH sequences

• 成果类型: Article
• 署名作者: Berkes, I; Horváth, L
• 署名单位: HUN-REN; HUN-REN Alfred Renyi Institute of Mathematics; Hungarian Academy of Sciences; Utah System of Higher Education; University of Utah
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2001
• 页码: 789-809
• 关键词: Stationarity; THEOREMS

摘要

We obtain a strong approximation for the empirical process of n observed elements of a GARCH sequence. The weak convergence of the empirical process and the law of the iterated logarithm are immediate consequences.