Diagnostic checking integer-valued ARCH\((p)\) models using conditional residual autocorrelations

DOI10.1016/j.csda.2009.09.019zbMath1464.62200OpenAlexW2008779124MaRDI QIDQ962278

Fukang Zhu, De-Hui Wang

Publication date: 6 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2009.09.019

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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