An asymptotic test for constancy of the variance under short-range dependence

DOI10.1214/21-AOS2092zbMath1486.62244arXiv2002.10178OpenAlexW3007441351MaRDI QIDQ2073717

Roland Fried, Max Wornowizki, Sara K. Schmidt, Herold G. Dehling

Publication date: 7 February 2022

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

Full work available at URL: https://arxiv.org/abs/2002.10178

zbMATH Keywords

short-range dependencechange-point analysistests for heteroscedasticityU-statistics of triangular arrays

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

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Uses Software

• R

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