Bartlett's formula for a general class of nonlinear processes

DOI10.1111/J.1467-9892.2009.00623.XzbMATH Open1224.62054OpenAlexW2165085659MaRDI QIDQ3077657FDOQ3077657

Authors: Jean-Michel Zakoïan, C. Francq 

Publication date: 22 February 2011

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/13224/1/MPRA_paper_13224.pdf

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zbMATH Keywords

nonlinear time series modelssample autocorrelations: GARCH models: weak white noise

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Nonlinear time series. Nonparametric and parametric methods
• Inference For Autocorrelations Under Weak Assumptions
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• Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
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• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
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• Modelling nonlinear random vibrations using an amplitude-dependent autoregressive time series model
• On Bartlett’s Formula for Non‐linear Processes

Cited In (20)

• Multivariate versions of Bartlett's formula
• Asymptotic properties of weighted least squares estimation in weak PARMA models
• On Bartlett's test for correlation between time series.
• Goodness-of-fit tests for binomial AR(1) processes
• Testing conditional heteroscedasticity with systematic sampling of time series
• Computing and estimating information matrices of weak ARMA models
• Likelihood Function and Canonical Correlation Analysis of the Peña–Box Model
• Multivariate hypothesis testing using generalized and {2}-inverses – with applications
• Bartlett-type formulas for complex multivariate time series of mixed spectra
• On testing for the equality of autocovariance in time series
• The asymptotic distribution of sample autocorrelations for a class of linear filters
• ROBUST TESTS FOR WHITE NOISE AND CROSS-CORRELATION
• Nonlinearity of ARCH and stochastic volatility models and Bartlett's formula
• Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
• The generalised autocovariance function
• The use of aggregate time series for testing conditional heteroscedasticity
• A transitional Markov switching autoregressive model
• QML inference for volatility models with covariates
• Asymptotic covariance structure of serial correlations in multivariate time series
• Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms

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