Parameter change test for autoregressive conditional duration models

DOI10.1007/S10463-015-0541-XzbMath1359.62351OpenAlexW2184916077MaRDI QIDQ287530

Sangyeol Lee, Haejune Oh

Publication date: 20 May 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-015-0541-x

zbMATH Keywords

Brownian bridgeCUSUM testnonlinear ACD modelsparameter change test

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Functional limit theorems; invariance principles (60F17) Non-Markovian processes: hypothesis testing (62M07)

Related Items (4)

Recent progress in parameter change test for integer-valued time series models ⋮ Entropy test and residual empirical process for autoregressive conditional duration models ⋮ On change point test for ARMA-GARCH models: bootstrap approach ⋮ Modified residual CUSUM test for location-scale time series models with heteroscedasticity

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