A test for comparing two discrete stochastic dynamical systems under heteroskedasticity

DOI10.1007/S12591-011-0085-3zbMath1257.62088OpenAlexW2080383435MaRDI QIDQ691309

Gladys E. Salcedo, Pedro Alberto Morettin

Publication date: 30 November 2012

Published in: Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s12591-011-0085-3

zbMATH Keywords

waveletshypothesis testingheterogeneity\(L^p\)-mixingalesAR models

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Random dynamical systems (37H99)

Uses Software

• dlm

Cites Work

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