A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise
This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain the...
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| Format: | Article |
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MDPI
2015
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| Online Access: | https://eprints.nottingham.ac.uk/45844/ |
| _version_ | 1848797205153972224 |
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| author | Zu, Yang |
| author_facet | Zu, Yang |
| author_sort | Zu, Yang |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain the pointwise asymptotic distribution of the deconvolution volatility density estimator in discrete-time stochastic volatility models. |
| first_indexed | 2025-11-14T20:00:10Z |
| format | Article |
| id | nottingham-45844 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T20:00:10Z |
| publishDate | 2015 |
| publisher | MDPI |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-458442020-05-04T17:12:36Z https://eprints.nottingham.ac.uk/45844/ A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise Zu, Yang This paper studies the asymptotic normality for the kernel deconvolution estimator when the noise distribution is logarithmic chi-square; both identical and independently distributed observations and strong mixing observations are considered. The dependent case of the result is applied to obtain the pointwise asymptotic distribution of the deconvolution volatility density estimator in discrete-time stochastic volatility models. MDPI 2015-07-21 Article PeerReviewed Zu, Yang (2015) A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise. Econometrics, 3 (3). pp. 561-576. ISSN 2225-1146 kernel deconvolution estimator; asymptotic normality; volatility density estimation http://www.mdpi.com/2225-1146/3/3/561 doi:10.3390/econometrics3030561 doi:10.3390/econometrics3030561 |
| spellingShingle | kernel deconvolution estimator; asymptotic normality; volatility density estimation Zu, Yang A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title | A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title_full | A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title_fullStr | A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title_full_unstemmed | A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title_short | A note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| title_sort | note on the asymptotic normality of the kernel deconvolution density estimator with logarithmic chi-square noise |
| topic | kernel deconvolution estimator; asymptotic normality; volatility density estimation |
| url | https://eprints.nottingham.ac.uk/45844/ https://eprints.nottingham.ac.uk/45844/ https://eprints.nottingham.ac.uk/45844/ |