The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular

DOI10.1016/J.CRMA.2008.02.018MaRDI QIDQ2427232zbMATH OpenOpenAlexFDO

Authors Michel Harel, Echarif Elharfaoui

Publication date 8 May 2008

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2008.02.018

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05)

Recommendations

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Cites work

• Checking nonlinear heteroscedastic time series models
• Local power of a Cramér-von Mises type test for parametric autoregressive models of order one
• Nonparametric model checks for regression
• Weak convergence of some marked empirical processes: Application to testing heteroscedasticity

Cited in

(4)

• Goodness-of-fit test for a nonlinear time series
• The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular
• Marked empirical processes for non-stationary time series
• A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular

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