A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (Q5861525): Difference between revisions

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scientific article; zbMATH DE number 7482735

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English	A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models	scientific article; zbMATH DE number 7482735

Statements

instance of

scholarly article

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title

A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (English)

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published in

Journal of Applied Statistics

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publication date

1 March 2022

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zbMATH Keywords

auxiliary residuals

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bootstrap procedures

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Kalman filter

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squared autocorrelations

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state smoothing

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state-space models

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describes a project that uses

bootlib

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/02664763.2020.1732885

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cites work

Generalized autoregressive conditional heteroscedasticity

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ARCH modeling in finance. A review of the theory and empirical evidence

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Testing for Heterogeneity with Categorical Data: Permutation Solution vs. Bootstrap Method

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Nonparametric Hypothesis Testing

0 references

Permutation Approaches for Stochastic Ordering

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Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

0 references

Unobserved component models with asymmetric conditional variances

0 references

Testing for Conditional Heteroscedasticity in the Components of Inflation

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Q4370586

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Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data

0 references

Q2760417

0 references

A simple and efficient simulation smoother for state space time series analysis

0 references

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

0 references

Moment-based multivariate permutation tests for ordinal categorical data

0 references

Q5612941

0 references

Unobserved components models in economics and finance

0 references

Disturbance smoother for state space models

0 references

A Lagrange multiplier test for GARCH models

0 references

On a measure of lack of fit in time series models

0 references

DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS

0 references

Re-examining inflation and inflation uncertainty in developed and emerging countries

0 references

Analysis of the correlation structure of square time series

0 references

On the Weak Consistency of Permutation Tests

0 references

A review and some new results on permutation testing for multivariate problems

0 references

Union-intersection permutation solution for two-sample equivalence testing

0 references

The impact of bootstrap methods on time series analysis

0 references

The Stationary Bootstrap

0 references

Automatic Block-Length Selection for the Dependent Bootstrap

0 references

Bootstrap prediction intervals in state-space models

0 references

Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters

0 references

Q5312871

0 references

Quadratic ARCH Models

0 references

MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

0 references

CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS

0 references

Identifiers

DOI

10.1080/02664763.2020.1732885

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5861525

@@ Property / full work available at URL @@
+https://doi.org/10.1080/02664763.2020.1732885
+Normal rank
@@ Property / OpenAlex ID @@
+W3008667673
@@ Property / OpenAlex ID: W3008667673 / rank @@
+Normal rank
@@ Property / cites work @@
+Generalized autoregressive conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+ARCH modeling in finance. A review of the theory and empirical evidence
+Normal rank
@@ Property / cites work @@
+Testing for Heterogeneity with Categorical Data: Permutation Solution vs. Bootstrap Method
+Normal rank
@@ Property / cites work @@
+Nonparametric Hypothesis Testing
@@ Property / cites work: Nonparametric Hypothesis Testing / rank @@
+Normal rank
@@ Property / cites work @@
+Permutation Approaches for Stochastic Ordering
@@ Property / cites work: Permutation Approaches for Stochastic Ordering / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
+Normal rank
@@ Property / cites work @@
+Unobserved component models with asymmetric conditional variances
+Normal rank
@@ Property / cites work @@
+Testing for Conditional Heteroscedasticity in the Components of Inflation
+Normal rank
@@ Property / cites work @@
+Q4370586
@@ Property / cites work: Q4370586 / rank @@
+Normal rank
@@ Property / cites work @@
+Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data
+Normal rank
@@ Property / cites work @@
+Q2760417
@@ Property / cites work: Q2760417 / rank @@
+Normal rank
@@ Property / cites work @@
+A simple and efficient simulation smoother for state space time series analysis
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
+Normal rank
@@ Property / cites work @@
+Moment-based multivariate permutation tests for ordinal categorical data
+Normal rank
@@ Property / cites work @@
+Q5612941
@@ Property / cites work: Q5612941 / rank @@
+Normal rank
@@ Property / cites work @@
+Unobserved components models in economics and finance
+Normal rank
@@ Property / cites work @@
+Disturbance smoother for state space models
@@ Property / cites work: Disturbance smoother for state space models / rank @@
+Normal rank
@@ Property / cites work @@
+A Lagrange multiplier test for GARCH models
@@ Property / cites work: A Lagrange multiplier test for GARCH models / rank @@
+Normal rank
@@ Property / cites work @@
+On a measure of lack of fit in time series models
@@ Property / cites work: On a measure of lack of fit in time series models / rank @@
+Normal rank
@@ Property / cites work @@
+DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
+Normal rank
@@ Property / cites work @@
+Re-examining inflation and inflation uncertainty in developed and emerging countries
+Normal rank
@@ Property / cites work @@
+Analysis of the correlation structure of square time series
+Normal rank
@@ Property / cites work @@
+On the Weak Consistency of Permutation Tests
@@ Property / cites work: On the Weak Consistency of Permutation Tests / rank @@
+Normal rank
@@ Property / cites work @@
+A review and some new results on permutation testing for multivariate problems
+Normal rank
@@ Property / cites work @@
+Union-intersection permutation solution for two-sample equivalence testing
+Normal rank
@@ Property / cites work @@
+The impact of bootstrap methods on time series analysis
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction intervals in state-space models
+Normal rank
@@ Property / cites work @@
+Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
+Normal rank
@@ Property / cites work @@
+Q5312871
@@ Property / cites work: Q5312871 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic ARCH Models
@@ Property / cites work: Quadratic ARCH Models / rank @@
+Normal rank
@@ Property / cites work @@
+MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
+Normal rank
@@ Property / cites work @@
+CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5861525