scientific article; zbMATH DE number 1400030

MaRDI QIDQ4939583zbMATH OpenFDO

Authors D. Lai

Publication date 20 March 2000

zbMATH Keywords

ARCHcontiguitylocal asymptotic normality

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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(14)

• Local asymptotic normality for multivariate linear processes
• Local asymptotic normality for the scale parameter of stable processes.
• A locally asymptotically optimal test with application to financial data
• Conditions of local asymptotic normality for Gaussian stationary processes
• Local asymptotic normality of truncated empirical processes
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• Local asymptotic normality in of standard generalized Pareto processes
• Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
• Local asymptotic normality for multivariate nonlinear AR processes
• Local asymptotic quadraticity of statistical experiments connected with a Heston model
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

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