Testing for parameter constancy in general causal time-series models

DOI10.1111/j.1467-9892.2012.00785.xzbMath1301.62087arXiv1101.5960OpenAlexW2157971535MaRDI QIDQ2931597

William Charky Kengne

Publication date: 26 November 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5960

zbMATH Keywords

weak convergencequasi-maximum likelihood estimatorsemiparametric testchange of parameterscausal processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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