A simultaneous test for conditional mean and conditional variance functions in time series models with martingale difference innovations

DOI10.1016/j.stamet.2010.10.001zbMath1213.62141OpenAlexW2049821115MaRDI QIDQ537479

Naâmane Laïb, Fateh Chebana

Publication date: 20 May 2011

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2010.10.001

zbMATH Keywords

nonlinear processesergodic processesLANlocal powerARCH processes

Mathematics Subject Classification ID

Related Items (2)

Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations ⋮ Asymptotically optimal tests for non-linear autoregressive model with \(\beta \)-ARCH errors

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