Testing hypotheses on the ``drift of parameters in ARMA and ARCH models

DOI10.3103/S1066530709010013MaRDI QIDQ2439211zbMATH OpenFDO

Authors I. G. Erlikh, M. V. Boldin

Publication date 10 March 2014

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

Full work available at URL https://doi.org/10.3103/S1066530709010013

zbMATH Keywords

\(M\)-estimatesARCH modelARMA modelasymptotically distribution free testssequential processes

Mathematics Subject Classification ID

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

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Cites work

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Cited in

(5)

• A new test for ARMA models with errors following a general white noise process
• Testing the hypothesis on the ``drift of parameters in the moving average model
• scientific article; zbMATH DE number 4060587 (Why is no real title available?)
• Repeated significance tests for stationary arm processes
• On Sign Tests in ARMA Models with Possibly Infinite Error Variance

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