A test for nonlinearity of time series with infinite variance

DOI10.1023/A:1009996916066zbMath0971.62049OpenAlexW1518419959MaRDI QIDQ5942929

Eric Van den Berg, Sidney I. Resnick

Publication date: 16 September 2001

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009996916066

zbMATH Keywords

heavy tailsinfinite variancelinear time seriessample correlation function

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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