Serial independence tests for innovations of conditional mean and variance models

DOI10.1007/s11749-016-0521-3zbMath1390.60085OpenAlexW3125697798MaRDI QIDQ1708359

Kilani Ghoudi, Bruno Rémillard

Publication date: 23 March 2018

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-016-0521-3

zbMATH Keywords

bootstrapempirical processesmultipliersrandomnessresidualsGARCH modelsserial independenceempirical copulaindependence testssquared residuals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Nonparametric statistical resampling methods (62G09)

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A random walk through Canadian contributions on empirical processes and their applications in probability and statistics ⋮ Approximating the null distribution of a class of statistics for testing independence ⋮ Tests of independence and randomness for arbitrary data using copula-based covariances ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models ⋮ Semi-parametric copula-based models under non-stationarity ⋮ Editorial ⋮ Change-point problems for multivariate time series using pseudo-observations ⋮ Statistical dependence: beyond Pearson's \(\rho\) ⋮ Tests of serial dependence for multivariate time series with arbitrary distributions

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