Test for parameter change in ARMA models with GARCH innovations

DOI10.1016/j.spl.2008.01.068zbMath1147.62074OpenAlexW1984746506MaRDI QIDQ947213

Sangyeol Lee, Junmo Song

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.068

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15) Non-Markovian processes: hypothesis testing (62M07)

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