Fitting an error distribution in some heteroscedastic time series models

DOI10.1214/009053606000000191zbMath1095.62110arXivmath/0607040OpenAlexW2118643627MaRDI QIDQ2497190

Hira L. Koul, Shiqing Ling

Publication date: 3 August 2006

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

Full work available at URL: https://arxiv.org/abs/math/0607040

zbMATH Keywords

weighted empirical processgoodness-of-fit testNonlinear time series models

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) Monte Carlo methods (65C05) Asymptotic properties of parametric tests (62F05)

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Uses Software

• FinTS

Cites Work

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