ON THE CONDITIONAL HOMOSCEDASTICITY TEST IN AUTOREGRESSIVE MODEL WITH ARCH ERROR
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Publication:4449054
DOI10.1081/STA-120004917zbMath1075.62619MaRDI QIDQ4449054
Publication date: 4 February 2004
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Tightness; Ergodic processes; Chi-square test; Martingale difference; ARCH-errors; Autoregression model
62G10: Nonparametric hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F17: Functional limit theorems; invariance principles
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