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

zbMATH Open1006.62076MaRDI QIDQ1856544FDOQ1856544

Authors: M. V. Boldin 

Publication date: 10 February 2003

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

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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)

Cited In (15)

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

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