Test for parameter change in ARMA models with GARCH innovations

DOI10.1016/j.spl.2008.01.068zbMath1147.62074MaRDI QIDQ947213

Sangyeol Lee, Junmo Song

Publication date: 29 September 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.01.068

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60F05: Central limit and other weak theorems

62M15: Inference from stochastic processes and spectral analysis

62M07: Non-Markovian processes: hypothesis testing

Related Items

Change point detection in copula ARMA–GARCH Models, A test for parameter change in general causal time series using quasi-likelihood estimator, Testing for parameter constancy in general causal time-series models

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