Testing hypotheses on the ``drift of parameters in ARMA and ARCH models

DOI10.3103/S1066530709010013zbMath1282.62114MaRDI QIDQ2439211

I. G. Erlikh, Mikhaĭl Vasil'evich Boldin

Publication date: 10 March 2014

Published in: Mathematical Methods of Statistics (Search for Journal in Brave)

zbMATH Keywords

ARMA modelasymptotically distribution free testsARCH modelsequential processes\(M\)-estimates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

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