On diagnostics in conditionally heteroskedastic time series models under elliptical distributions

DOI10.1239/jap/1082552214zbMath1049.62100OpenAlexW1968693649MaRDI QIDQ4822476

Shuangzhe Liu

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082552214

zbMATH Keywords

statistical diagnosticsobserved information matrixlikelihood displacementmatrix differentialmatrices of derivatives

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Diagnostics, and linear inference and regression (62J20)

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Uses Software

• itsmr

Cites Work

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