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

zbMath1006.62076MaRDI QIDQ1856544

Mikhaĭl Vasil'evich Boldin

Publication date: 10 February 2003

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

zbMATH Keywords

ARCH models; residual empirical processes; robust GM-estimates

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

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