Empirical process of the squared residuals of an ARCH sequence

DOI10.1214/aos/1009210548zbMath1012.62053MaRDI QIDQ1848867

Gilles Teyssière, Lajos Horváth, Piotr S. Kokoszka

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1009210548

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

60F05: Central limit and other weak theorems

62G30: Order statistics; empirical distribution functions

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