A quasi-locally most powerful test for correlation in the conditional variance of positive data

DOI10.1111/J.1467-842X.2010.00596.XMaRDI QIDQ2802749zbMATH OpenOpenAlexFDO

Authors Gael M. Martin, Keith Freeland, Brendan McCabe

Publication date 27 April 2016

Published in Australian \& New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-842x.2010.00596.x

zbMATH Keywords

quasi-likelihoodWeibull distributiongamma distributionasymptotic relative efficiencylocally most powerful testdurations data

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• A Beta-Gamma autoregressive process of the second-order (BGAR(2))
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Bayesian analysis of the stochastic conditional duration model
• Estimation of Generalized Linear Latent Variable Models
• Gamma processes
• Modelling Financial High Frequency Data Using Point Processes
• Parameterisation and efficient MCMC estimation of non-Gaussian state space models
• Some remarks on overdispersion
• Stochastic volatility duration models
• Testing for Neglected Heterogeneity
• The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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