Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes

DOI10.1080/03610918.2010.512694MaRDI QIDQ3072403zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, M. Merzougui

Publication date 3 February 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.512694

zbMATH Keywords

adaptive testlocal asymptotic most stringent testlocal asymptotic normalityperiodic ARCHSwensen's conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Adaptive test for periodicity in self-exciting threshold autoregressive models
• Adaptive test for periodicity in restrictive EXPAR(p) models
• Adaptive estimation of causal periodic autoregressive model
• A model-adaptive test for parametric single-index time series models
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES
• Adaptive estimation of periodic first-order threshold autoregressive model

Cites work

• Adaptive estimates for autoregressive processes
• Adaptive estimation of causal periodic autoregressive model
• Aligned rank tests for linear models with autocorrelated error terms
• ARCH models as diffusion approximations
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
• Generalized autoregressive conditional heteroscedasticity
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• On the existence of higher-order moments of periodic GARCH models
• Optimal Detection of Exponential Component in Autoregressive Models
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Robust Multivariate Regression When There is Heteroscedasticity
• Stationarity of GARCH processes and of some nonnegative time series
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cited in

(7)

• Test for periodicity in restrictive EXPAR models
• Adaptive test for periodicity in self-exciting threshold autoregressive models
• Adaptive testing in arch models
• Adaptive test for periodicity in restrictive EXPAR(p) models
• Adaptive estimation of periodic first-order threshold autoregressive model
• Adaptive test for periodic ARFIMA models
• Local asymptotic normality in periodic threshold GARCH and periodic GARCH models

This page was built for publication: Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3072403)