Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality
研究了非线性ARCH型计量经济系统函数结构的估计与识别，采用非参数核估计方法，在温和正则条件下建立了估计量的强相合性和渐近正态性。
We consider the estimation and identification of the functional structures of nonlinear econometric systems of the ARCH type. We employ nonparametric kernel estimates for the nonlinear functions characterizing the systems, and we establish strong consistency along with sharp rates of convergence under mild regularity conditions. We also prove the asymptotic normality of the estimates.