Sequential residue empirical processes in the ARCH model

DOI10.1070/RM2002v057n02ABEH000500zbMath1112.62332OpenAlexW2070216667MaRDI QIDQ4469809

Mikhaĭl Vasil'evich Boldin

Publication date: 22 June 2004

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1070/rm2002v057n02abeh000500

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL ⋮ Change‐Point Tests for the Error Distribution in Non‐parametric Regression ⋮ Testing the hypothesis on the ``drift of parameters in the moving average model ⋮ Limit results for the empirical process of squared residuals in GARCH models. ⋮ Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach

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