A goodness-of-fit test for GARCH innovation density

DOI10.1007/s00184-010-0318-4zbMath1241.62067MaRDI QIDQ434239

Nao Mimoto, Hira L. Koul

Publication date: 10 July 2012

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-010-0318-4

Mathematics Subject Classification ID

62G07: Density estimation

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

Related Items

Asymptotics of $L_\lambda$ -Norms of ARCH(p) Innovation Density Estimators, Tests for time series of counts based on the probability-generating function, Bootstrap specification tests for dynamic conditional distribution models, Goodness-of-fit testing of error distribution in linear measurement error models, On the empirical characteristic function process of the residuals in GARCH models and applications, An analog of Bickel-Rosenblatt test for fitting an error density in the two phase linear regression model

Cites Work

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