Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility

DOI10.4064/AM30-4-3MaRDI QIDQ4829393zbMATH OpenOpenAlexFDO

Authors D. Feldmann, Christian M. Hafner, M. Hoffmann, Alexandre B. Tsybakov, Wolfgang K. Härdle, O. V. Lepski

Publication date 29 November 2004

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/am30-4-3

zbMATH Keywords

stochastic volatilityminimax testsautoregression with errors in variablestesting parametric versus nonparametric fit

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(2)

• An asymptotically optimal test for a parametric set of regression functions against a non-parametric alternative
• The spurious effect of ARCH errors on linearity tests: a theoretical note and an alternative maximum likelihood approach

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