A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (Q5861525)
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scientific article; zbMATH DE number 7482735
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models |
scientific article; zbMATH DE number 7482735 |
Statements
A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models (English)
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1 March 2022
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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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