Strong approximation for the sums of squares of augmented GARCH sequences

DOI10.3150/bj/1155735928zbMath1125.62092OpenAlexW2013865992MaRDI QIDQ850764

Lajos Horváth, Alexander Aue, István Berkes

Publication date: 6 November 2006

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/bj/1155735928

zbMATH Keywords

momentsstationary solutionspartial sumsaugmented GARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Strong limit theorems (60F15)

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Asymptotics for semi-strong augmented GARCH(1,1) model, Delay times of sequential procedures for multiple time series regression models, Parameter change tests for ARMA-GARCH models, Pointwise adaptive estimation of the marginal density of a weakly dependent process, Asymptotic distribution of the delay time in Page's sequential procedure, Functional central limit theorems for augmented GARCH(\(p\),\(q\)) and FIGARCH processes, On the Performance of the Fluctuation Test for Structural Change, On the reaction time of moving sum detectors, Split invariance principles for stationary processes, Segmenting mean-nonstationary time series via trending regressions, Extreme value distribution of a recursive-type detector in linear model, Stationarity and functional central limit theorem for ARCH(\(\infty\)) models, Extensions of some classical methods in change point analysis, Strong approximation for a class of stationary processes, Testing for changes in polynomial regression, Augmented GARCH sequences: Dependence structure and asymptotics, Extreme value theory for stochastic integrals of Legendre polynomials, Asymptotic results for the empirical process of stationary sequences, ON DISTINGUISHING BETWEEN RANDOM WALK AND CHANGE IN THE MEAN ALTERNATIVES, Monitoring shifts in mean: asymptotic normality of stopping times, Break detection in the covariance structure of multivariate time series models, Structural breaks in time series, On the use of estimating functions in monitoring time series for change points, Page's sequential procedure for change-point detection in time series regression

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