On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation

MaRDI QIDQ1856544zbMATH OpenFDO

Authors M. V. Boldin

Publication date 10 February 2003

Published in Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

ARCH modelsresidual empirical processesrobust GM-estimates

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• Residual empirical processes for long and short memory time series
• Fitting an error distribution in some heteroscedastic time series models
• Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
• Empirical process of the squared residuals of an ARCH sequence

Cited in

(15)

• Generalized runs tests for heteroscedastic time series
• Uniform estimates of strong mixing rate coefficients and maximum of residual empirical processes in \(ARCH(p)\)-models
• Statistical estimation errors of VaR under ARCH returns
• Residual empirical processes and their application to GM-testing for the autoregression order
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• On the empirical distribution function of residuals in autoregression with outliers and Pearson's chi-square type tests
• Two step estimators of the minimum distance type for parameters of the \(\mathrm{ARMA}(1,1)\) model
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Testing for a change of the innovation distribution in an ARCH model
• Weak convergence of some marked empirical processes: Application to testing heteroscedasticity
• The Bickel--Rosenblatt test for diffusion processes
• Limit results for the empirical process of squared residuals in GARCH models.
• Efficient prediction for linear and nonlinear autoregressive models
• On testing the symmetry of innovation distribution in autoregression schemes
• Residual empirical processes and qualitatively robust GM-tests in autoregression

This page was built for publication: On empirical processes in heteroscedastic time series and their use for hypothesis testing and estimation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1856544)