scientific article; zbMATH DE number 3793272

MaRDI QIDQ3969745zbMATH OpenFDO

Authors Katsuto Tanaka

Publication date 1983

zbMATH Keywords

asymptotic normalityautoregressive modelmeasurement errorone-sided Lagrange multiplier test

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cited in

(4)

• Testing for jumps in the stochastic volatility models
• Inference of Seasonal Long‐memory Time Series with Measurement Error
• Testing for measurement error in regression with autoregressive innovations
• Testing for jumps in the EGARCH process

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