Multi-sample Cramér-von Mises tests for ARCH residual empirical processes

MaRDI QIDQ5296403zbMATH OpenFDO

Authors S. Ajay Chandra, Jito Vanualailai, Bibhya Sharma, Avinesh Prasad

Publication date 1 August 2007

zbMATH Keywords

empirical processasymptotic relative efficiencycentral limit theoremsARCH processsquared residuals\(m\)-sample Cramér-von Mises statisticARCH volatility effect

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

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