Strong approximation of the empirical process of Garch sequences

Authors
Berkes, István Horváth, Lajos
Citation
Berkes, István et Horváth, Lajos, Strong approximation of the empirical process of Garch sequences, Annals of applied probability , 11(3), 2001, pp. 789-809
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
11
Issue
3
Year of publication
2001
Pages
789 - 809
Database
ACNP
SICI code
Abstract
We obtain a strong approximation for the empirical process of n observe delements of a GARCH sequence. The weak convergence of the empirical process and the law of the iterated logarithm are immediate consequences.