TESTING FOR A CHANGE OF THE INNOVATION DISTRIBUTION IN AN ARCH MODEL

DOI10.17654/TS059010023zbMath1480.62177OpenAlexW3088576034MaRDI QIDQ5036026

Tchilabalo Abozou Kpanzou, Kossi Essona Gneyou, Edoh Katchekpele

Publication date: 23 February 2022

Published in: Far East Journal of Theoretical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17654/ts059010023

zbMATH Keywords

weak convergencechange-pointARCH modelKiefer processCramér-von Mises-type test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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• Testing for a Change of the Innovation Distribution in Nonparametric Autoregression: The Sequential Empirical Process Approach
• Testing and estimating change-points in time series
• Sequential residue empirical processes in the ARCH model
• Distribution Free Tests of Independence Based on the Sample Distribution Function

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