scientific article; zbMATH DE number 4086822

MaRDI QIDQ3814604zbMATH OpenFDO

Authors Dawei Huang

Publication date 1988

zbMATH Keywords

central limit theoremlaw of iterated logarithmuniform convergence rate of sample autocorrelations

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(15)

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• A test of conditional heteroscedasticity in time series
• Identification of multivariate ARMA models
• Convergence of the clipped sample autocorrelation and autocovariance
• A Kolmogorov-Smirnov type test for conditional heteroskedasticity in time series
• Recursive method for ARMA model estimation. I
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• Sampled autocovariance and autocorrelation results for linear time processes
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