Checking nonlinear heteroscedastic time series models

DOI10.1016/j.jspi.2004.03.013zbMath1062.62197OpenAlexW2019244125MaRDI QIDQ556432

Joseph Ngatchou-Wandji

Publication date: 13 June 2005

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.03.013

zbMATH Keywords

Time seriesGoodness of fitLANContiguityHeteroscedastic modelsLocal alternatives

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Asymptotic properties of parametric tests (62F05)

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