Fitting an error distribution in some heteroscedastic time series models

DOI10.1214/009053606000000191zbMath1095.62110arXivmath/0607040MaRDI QIDQ2497190

Hira L. Koul, Shiqing Ling

Publication date: 3 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0607040

zbMATH Keywords

weighted empirical process; goodness-of-fit test; Nonlinear time series models

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

65C05: Monte Carlo methods

62F05: Asymptotic properties of parametric tests

Related Items

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models, Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series, Residual empirical processes for long and short memory time series, Score test of fit for composite hypothesis in the GARCH\((1,1)\) model, Estimating the innovation distribution in nonparametric autoregression, Specification tests for the error distribution in GARCH models, Prediction in moving average processes, Estimating the error distribution in multivariate heteroscedastic time-series models, RANK-BASED ESTIMATION FOR GARCH PROCESSES, On residual empirical processes of GARCH-SM models: application to conditional symmetry tests, ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS, ESTIMATION RISK IN GARCH VaR AND ES ESTIMATES

Uses Software

• FinTS

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