Empirical process of the squared residuals of an ARCH sequence

DOI10.1214/aos/1009210548zbMath1012.62053OpenAlexW1606041968MaRDI 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

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30)

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