Sequential residue empirical processes in the ARCH model

DOI10.1070/RM2002V057N02ABEH000500MaRDI QIDQ4469809zbMATHOpenAlexFDO

Authors M. V. Boldin

Publication date 22 June 2004

Published in Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1070/rm2002v057n02abeh000500

Mathematics Subject Classification ID

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

Cited in

(5)

• Change-point tests for the error distribution in nonparametric regression
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Testing the hypothesis on the ``drift of parameters in the moving average model
• Testing for a change of the innovation distribution in an ARCH model
• Limit results for the empirical process of squared residuals in GARCH models.

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