Comte, F.; Dedecker, J.; Taupin, M.L. - In: Econometric Theory 24 (2008) 06, pp. 1628-1662
We consider a model <italic>Y</italic><sub>null</sub> = σ<sub>null</sub>η<sub>null</sub> in which (σ<sub>null</sub>) is not independent of the noise process (η<sub>null</sub>) but σ<sub>null</sub> is independent of η<sub>null</sub> for each <italic>t</italic>. We assume that (σ<sub>null</sub>) is stationary, and we propose an adaptive estimator of the density of ln(σ<sub>null</sub><sup>2</sup>) based on the observations <italic>Y</italic><sub>null</sub>....
