Adaptive Test for Periodicity in Autoregressive Conditional Heteroskedastic Processes

DOI10.1080/03610918.2010.512694MaRDI QIDQ3072403zbMATH OpenOpenAlexFDO

Authors Mohamed Bentarzi, M. Merzougui

Publication date 3 February 2011

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2010.512694

zbMATH Keywords

local asymptotic normalityadaptive testlocal asymptotic most stringent testperiodic ARCHSwensen's conditions

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

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Cites work

• ARCH models as diffusion approximations
• Adaptive estimates for autoregressive processes
• Adaptive estimation of causal periodic autoregressive model
• Aligned rank tests for linear models with autocorrelated error terms
• Asymptotic distribution of the log-likelihood function for stochastic processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Efficiencies of tests and estimators for p-order autoregressive processes when the error distribution is nonnormal
• Generalized autoregressive conditional heteroscedasticity
• Locally asymptotically optimal tests for AR\((p)\) against diagonal bilinear dependence
• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
• ON THE ASYMPTOTIC EFFICIENCY OF ESTIMATORS OF THE PARAMETERS OF AN ARMA PROCESS
• On adaptive estimation in stationary ARMA processes
• On estimation and adaptive estimation for locally asymptotically normal families
• On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
• On the existence of higher-order moments of periodic GARCH models
• Optimal Detection of Exponential Component in Autoregressive Models
• Optimal rank-based tests against first-order superdiagonal bilinear dependence
• Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
• Robust Multivariate Regression When There is Heteroscedasticity
• Stationarity of GARCH processes and of some nonnegative time series
• The asymptotic distribution of the likelihood ratio for autoregressive time series with a regression trend

Cited in

(6)

• Test for periodicity in restrictive EXPAR models
• Adaptive testing in arch models
• Adaptive test for periodicity in restrictive EXPAR(p) models
• Adaptive test for periodicity in self-exciting threshold autoregressive models
• Adaptive estimation of periodic first-order threshold autoregressive model
• Adaptive test for periodic ARFIMA models

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