Local asymptotically optimal test in ARCH model

MaRDI QIDQ2927499zbMATH OpenFDO

Authors Tewfik Lounis

Publication date 3 November 2014

Published in Revue Roumaine de Mathématiques Pures et Appliquées (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1206.1393

zbMATH Keywords

ARCH modelscontiguitydiscrete estimateeffciencyidentifiable modelsLe Cam's third lemmalocal asymptotic normalitytime series models

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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