The Variance Ratio Test with Stable Paretian Errors
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Publication:4544841
DOI10.1111/1467-9892.01664zbMATH Open0991.62067OpenAlexW2040550877MaRDI QIDQ4544841FDOQ4544841
Authors:
Publication date: 5 August 2002
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.01664
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- Ratio tests for variance change in nonparametric regression
- scientific article; zbMATH DE number 3892404
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Regression-Type Estimation of the Parameters of Stable Laws
- The Durbin-Watson ratio under infinite-variance errors
- Title not available (Why is that?)
- Are output fluctuations transitory?
- Simple consistent estimators of stable distribution parameters
- An iterative procedure for the estimation of the parameters of stable laws
Cited In (6)
- A Combined Invariant Test for a Null Variance Ratio
- THE VARIANCE RATIO TEST: AN ANALYSIS OF SIZE AND POWER BASED ON A CONTINUOUS-TIME ASYMPTOTIC FRAMEWORK
- Testing the stable Paretian assumption
- A small‐sample overlapping variance‐ratio test
- Generalized Variance-Ratio Tests in the Presence of Statistical Dependence
- Error estimation in the method of dependent tests for multiple parametric integrals with infinite variance
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