Empirical processes for infinite variance autoregressive models

DOI10.1016/J.JMVA.2012.01.018MaRDI QIDQ413784zbMATH OpenOpenAlexFDO

Authors Chafik Bouhaddioui, Kilani Ghoudi

Publication date 7 May 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.01.018

zbMATH Keywords

goodness-of-fit testsstable distributionsindependence testsportmanteau statistics

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)

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• Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
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Cited in

(13)

• scientific article; zbMATH DE number 6603212 (Why is no real title available?)
• scientific article; zbMATH DE number 1396194 (Why is no real title available?)
• Diagnostic tests for innovations of ARMA models using empirical processes of residuals
• Theory & Methods: ε‐Repetitions of the Maximum Residuals in an AR(1) Model
• On some new results for cointegrated processes with infinite variance innovations
• A portmanteau test for ARMA processes with infinite variance
• Marked empirical processes for non-stationary time series
• Trimmed portmanteau test for linear processes with infinite variance
• scientific article; zbMATH DE number 5586340 (Why is no real title available?)
• Consistency of Araike's information criterion for infinite variance autoregressive processes
• Semi-parametric estimation of a stationary, non-necessary causal AR(P) process with infinite variance
• scientific article; zbMATH DE number 1409954 (Why is no real title available?)
• Diagnostic tests for non-causal time series with infinite variance

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