Weak convergence of some marked empirical processes: Application to testing heteroscedasticity

DOI10.1080/10485250212377zbMath1012.62051MaRDI QIDQ4805926

Joseph Ngatchou-Wandji

Publication date: 24 June 2003

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485250212377

zbMATH Keywords

martingales; goodness-of-fit; Markov models; heteroscedastic models

Mathematics Subject Classification ID

62G10: Nonparametric hypothesis testing

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

62G20: Asymptotic properties of nonparametric inference

62F10: Point estimation

62M99: Inference from stochastic processes

60F17: Functional limit theorems; invariance principles

Related Items

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations, A nonparametric model check for time series when the random vectors are nonstationary and absolutely regular, A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations, Checking nonlinear heteroscedastic time series models, Testing nonstationary and absolutely regular nonlinear time series models, Estimation in a class of nonlinear heteroscedastic time series models, The marked empirical process to test a general AR-ARCH against an other general AR-ARCH when the random vectors are nonstationary and absolutely regular, The marked empirical process to test nonlinear time series against a large class of alternatives when the random vectors are nonstationary and absolutely regular

Cites Work

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