A non-parametric statistic for testing conditional heteroscedasticity for unobserved component models

DOI10.1080/02664763.2020.1732885OpenAlexW3008667673MaRDI QIDQ5861525

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Publication date: 1 March 2022

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

Full work available at URL: https://doi.org/10.1080/02664763.2020.1732885

zbMATH Keywords

Kalman filterstate-space modelsauxiliary residualsbootstrap proceduresstate smoothingsquared autocorrelations

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Order statistics; empirical distribution functions (62G30) Applications of statistics (62Pxx)

Uses Software

• bootlib

Cites Work

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