Next Article in Journal
A Spectral Model of Turnover Reduction
Previous Article in Journal
New Graphical Methods and Test Statistics for Testing Composite Normality
Article Menu

Export Article

Open AccessShort Note
Econometrics 2015, 3(3), 561-576; doi:10.3390/econometrics3030561

A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise

Department of Economics, City University London, Northampton Square, EC1V 0HB London, UK
Academic Editor: Kerry Patterson
Received: 29 April 2015 / Accepted: 17 July 2015 / Published: 21 July 2015
View Full-Text   |   Download PDF [297 KB, uploaded 21 July 2015]   |  

Abstract

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. View Full-Text
Keywords: kernel deconvolution estimator; asymptotic normality; volatility density estimation kernel deconvolution estimator; asymptotic normality; volatility density estimation
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Zu, Y. A Note on the Asymptotic Normality of the Kernel Deconvolution Density Estimator with Logarithmic Chi-Square Noise. Econometrics 2015, 3, 561-576.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Econometrics EISSN 2225-1146 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top