An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models

MaRDI QIDQ427980zbMATH OpenFDO

Authors F. Chebana, N. Laïb

Publication date 18 June 2012

Published in Afrika Statistika (Search for Journal in Brave)

Full work available at URL http://www.ajol.info/index.php/afst/article/view/71015

zbMATH Keywords

ARCH processesergodic processesLANlocal powernonlinear processesscore test

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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