Identification of nonlinear time series from first order cumulative characteristics

DOI10.1214/AOS/1176325381zbMath0797.62073OpenAlexW2168262490MaRDI QIDQ1327855

Mei-Jie Zhang, Ian W. McKeague

Publication date: 25 October 1994

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176325381

zbMATH Keywords

numerical resultsnonlinear time seriesexamplesgoodness-of-fit teststationary time seriesmodel identificationmartingale central limit theoremcumulative lagged conditional meancumulative lagged conditional variance functionsparametric time series models

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: hypothesis testing (62M02)

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