A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations (Q537479): Difference between revisions

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English	A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations	scientific article

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scholarly article

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title

A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations (English)

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Statistical Methodology

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publication date

20 May 2011

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zbMATH Keywords

ARCH processes

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ergodic processes

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LAN

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local power

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nonlinear processes

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.stamet.2010.10.001

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cites work

On the optimization of the weighted Bickel--Rosenblatt test

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A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series

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A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data

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Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models

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Adaptive estimation in time-series models

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Q3911791

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On Large-Sample Estimation and Testing in Parametric Models

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Comparing nonparametric versus parametric regression fits

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Nonparametric statistics for testing of linearity and serial independence

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Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity

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Nonparametric model checks for time series

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Nonparametric testing for correlation models with dependent data

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Non-Parametric Testing of Conditional Variance Functions in Time Series

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Identification of nonlinear time series from first order cumulative characteristics

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Weak convergence of some marked empirical processes: Application to testing heteroscedasticity

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Checking nonlinear heteroscedastic time series models

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Local power of a Cramér-von Mises type test for parametric autoregressive models of order one

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Nonparametric model checks for regression

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Q3999154

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Asymptotic Statistics

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Identifiers

zbMATH Open document ID

1213.62141

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Mathematics Subject Classification ID

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10.1016/J.STAMET.2010.10.001

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Sitelinks

Mathematics(1 entry)

mardi Publication:537479

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+W2049821115
@@ Property / OpenAlex ID: W2049821115 / rank @@
+Normal rank
@@ Property / cites work @@
+On the optimization of the weighted Bickel--Rosenblatt test
+Normal rank
@@ Property / cites work @@
+A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
+Normal rank
@@ Property / cites work @@
+A weak invariance principle for cumulated functionals of the regressogram estimator with dependent data
+Normal rank
@@ Property / cites work @@
+Limiting distribution of weighted processes of residuals. Application to parametric nonlinear autoregressive models
+Normal rank
@@ Property / cites work @@
+Adaptive estimation in time-series models
@@ Property / cites work: Adaptive estimation in time-series models / rank @@
+Normal rank
@@ Property / cites work @@
+Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+On Large-Sample Estimation and Testing in Parametric Models
+Normal rank
@@ Property / cites work @@
+Comparing nonparametric versus parametric regression fits
+Normal rank
@@ Property / cites work @@
+Nonparametric statistics for testing of linearity and serial independence
+Normal rank
@@ Property / cites work @@
+Nonlinear time series contiguous to \(AR(1)\) processes and a related efficient test for linearity
+Normal rank
@@ Property / cites work @@
+Nonparametric model checks for time series
@@ Property / cites work: Nonparametric model checks for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric testing for correlation models with dependent data
+Normal rank
@@ Property / cites work @@
+Non-Parametric Testing of Conditional Variance Functions in Time Series
+Normal rank
@@ Property / cites work @@
+Identification of nonlinear time series from first order cumulative characteristics
+Normal rank
@@ Property / cites work @@
+Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Checking nonlinear heteroscedastic time series models
+Normal rank
@@ Property / cites work @@
+Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
+Normal rank
@@ Property / cites work @@
+Nonparametric model checks for regression
@@ Property / cites work: Nonparametric model checks for regression / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999154
@@ Property / cites work: Q3999154 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
+Normal rank
@@ Property / DOI @@
+.1016/J.STAMET.2010.10.001
@@ Property / DOI: 10.1016/J.STAMET.2010.10.001 / rank @@
+Normal rank