Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility

DOI10.4064/am30-4-3zbMath1051.62108OpenAlexW2092375367MaRDI QIDQ4829393

D. Feldmann, Marc Hoffmann, Alexandre B. Tsybakov, Christian M. Hafner, Wolfgang Karl Härdle, O. V. Lepskij

Publication date: 29 November 2004

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am30-4-3

zbMATH Keywords

stochastic volatilityminimax testsautoregression with errors in variablestesting parametric versus nonparametric fit

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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