scientific article; zbMATH DE number 5187532

zbMath1117.62091MaRDI QIDQ5756841

Bartosz Stawiarski, Tadeusz Inglot

Publication date: 5 September 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Monte Carlo simulationscentral limit theoremergodic theoremnoise distributionmartingale difference arrayefficient score vectorBIC Schwarz selection rule

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Monte Carlo methods (65C05)

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Bootstrap specification tests for dynamic conditional distribution models ⋮ Score test of fit for composite hypothesis in the GARCH\((1,1)\) model

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