A note on non-parametric testing for Gaussian innovations in AR-ARCH models
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Publication:2852597
DOI10.1111/jtsa.12018zbMath1273.62218arXiv1211.1204MaRDI QIDQ2852597
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1211.1204
kernel estimation; empirical distribution function; autoregression; conditional heteroscedasticity; nonparametric conditional heteroscedastic autoregressive nonlinear model
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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