An efficient locally asymptotic parametric test in nonlinear heteroscedastic time series models

zbMath1243.62115MaRDI QIDQ427980

Naâmane Laïb, Fateh Chebana

Publication date: 18 June 2012

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: http://www.ajol.info/index.php/afst/article/view/71015

zbMATH Keywords

nonlinear processesscore testergodic processesLANlocal powerARCH processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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