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

zbMATH Open1116.62050MaRDI QIDQ5296403FDOQ5296403

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

Publication date: 1 August 2007

Recommendations

• scientific article; zbMATH DE number 2066279
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Testing for a change of the innovation distribution in an ARCH model
• Empirical process of the squared residuals of an ARCH sequence
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process

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)

Cited In (4)

• Title not available (Why is that?)
• Asymptotics of rank order statistics for ARCH residual empirical processes.
• Title not available (Why is that?)
• Large sample distribution of weighted sums of ARCH(\(p\)) squared residual correlations

This page was built for publication: Multi-sample Cramér-von Mises tests for ARCH residual empirical processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5296403)