A white noise test under weak conditions

DOI10.1016/J.JSPI.2020.07.004zbMATH Open1455.62167OpenAlexW3082512868MaRDI QIDQ826992FDOQ826992

Authors: Monika Bhattacharjee, Arup Bose, R. Srivastava 

Publication date: 6 January 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2020.07.004

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zbMATH Keywords

GARCH modelstestingnonlinear modelswhite noisecumulantsgeometric moment contraction

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) White noise theory (60H40)

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Cited In (4)

• Identifying the number of factors using a white noise test
• On the asymptotic variance of higher order crossings with special reference to a fast white noise test
• Title not available (Why is that?)
• A delta white noise functional

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