A white noise test under weak conditions

DOI10.1016/j.jspi.2020.07.004zbMath1455.62167OpenAlexW3082512868MaRDI QIDQ826992

Arup Bose, Radhendushka Srivastava, Monika Bhattacharjee

Publication date: 6 January 2021

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.2020.07.004

zbMATH Keywords

cumulantsnonlinear modelstestingwhite noiseGARCH modelsgeometric moment contraction

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) White noise theory (60H40)

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