Testing the hypothesis on the ``drift of parameters in the moving average model

DOI10.3103/S0027132209010021zbMath1304.62112MaRDI QIDQ2513040

I. G. Erlikh

Publication date: 2 February 2015

Published in: Moscow University Mathematics Bulletin (Search for Journal in Brave)

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Influence functionals for time series (with discussion)
• Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
• On median estimates and tests in autoregressive models
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• Testing and estimating change-points in time series
• Sequential residue empirical processes in the ARCH model

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