Testing for a change of the innovation distribution in an ARCH model (Q5036026)
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scientific article; zbMATH DE number 7479531
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| English | Testing for a change of the innovation distribution in an ARCH model |
scientific article; zbMATH DE number 7479531 |
Statements
TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL (English)
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23 February 2022
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ARCH model
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change-point
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Cramér-von Mises-type test
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Kiefer process
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weak convergence
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0.8337975144386292
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0.8285602927207947
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0.8276309967041016
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