The residual empirical distribution function in GARCH(1,1) and its application in hypothesis testing

DOI10.1070/rm1999v054n04ABEH000195zbMath1051.62521OpenAlexW2055305885MaRDI QIDQ4509538

A. E. Vyazilov

Publication date: 1999

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

Full work available at URL: https://doi.org/10.1070/rm1999v054n04abeh000195

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30)

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