A note on non-parametric testing for Gaussian innovations in AR-ARCH models

DOI10.1111/jtsa.12018zbMath1273.62218arXiv1211.1204MaRDI QIDQ2852597

Leonie Selk, Natalie Neumeyer

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

zbMATH Keywords

kernel estimation; empirical distribution function; autoregression; conditional heteroscedasticity; nonparametric conditional heteroscedastic autoregressive nonlinear model

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Estimating the Error Distribution in a Single-Index Model, Oracally efficient estimation of autoregressive error distribution with simultaneous confidence band, A model specification test for the variance function in nonparametric regression, Goodness-of-fit testing of error distribution in nonparametric ARCH(1) models, Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach

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