scientific article; zbMATH DE number 1944031

MaRDI QIDQ4410079zbMATH OpenFDO

Authors Lajos Horváth, István Berkes

Publication date 21 October 2003

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)

Cited in

(13)

• Extensions of some classical methods in change point analysis
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Efficient prediction for linear and nonlinear autoregressive models
• Limit results for the empirical process of squared residuals in GARCH models.
• Empirical and rank processes of observations and residuals
• Testing the equality of error distributions from \(k\) independent GARCH models
• The empirical process of residuals from an inverse regression
• Empirical process of residuals for regression models with long memory errors
• Extended Glivenko-Cantelli theorem in ARCH\((p)\)-time series
• Empirical process of residuals for high-dimensional linear models
• Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models.
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Estimating the innovation distribution in nonparametric autoregression

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