The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process

DOI10.1007/BF02915436MaRDI QIDQ2495334zbMATH OpenFDO

Authors Janusz Kawczak, Hao Yu, Reg J. Kulperger

Publication date 5 July 2006

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02915436

zbMATH Keywords

ARCHdriftempirical distributionresidualsweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Asymptotic properties of parametric estimators (62F12) Order statistics; empirical distribution functions (62G30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A uniform CLT for uniformly bounded families of martingale differences
• ARCH models and financial applications
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Best constants in martingale version of Rosenthal's inequality
• Convergence of stochastic processes
• Empirical process of the squared residuals of an ARCH sequence
• Estimation of the Distribution of Noise in an Autoregression Scheme
• scientific article; zbMATH DE number 3962966 (Why is no real title available?)
• scientific article; zbMATH DE number 1223290 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• The geometric ergodicity and existence of moments for a class of nonlinear time series model
• Weighted empirical processes in dynamic nonlinear models.

Cited in

(11)

• Estimating the innovation distribution in nonparametric autoregression
• Empirical process of the squared residuals of an ARCH sequence
• On partial-sum processes of ARMAX residuals
• High moment partial sum processes of residuals in GARCH models and their applications
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Limit results for the empirical process of squared residuals in GARCH models.
• Uniform estimates of strong mixing rate coefficients and maximum of residual empirical processes in \(ARCH(p)\)-models
• scientific article; zbMATH DE number 1223290 (Why is no real title available?)
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• Multi-sample Cramér-von Mises tests for ARCH residual empirical processes
• Inference and prediction for ARCH time series via innovation distribution function

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