Limit results for the empirical process of squared residuals in GARCH models

被引：19

作者：

Berkes, I

Horváth, L

机构：

[1] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA

[2] Hungarian Acad Sci, A Renyi Inst Math, H-1364 Budapest, Hungary

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2003年 / 105卷 / 02期

关键词：

GARCH(p; q); residuals; weak convergence; martingales; parameter estimation;

D O I：

10.1016/S0304-4149(03)00004-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the asymptotic behavior of the empirical distribution function and the empirical process of squared residuals. We prove the Glivenko-Cantelli theorem for the empirical distribution function. We show that the two-parameter empirical process converges to a Gaussian process. (C) 2003 Elsevier Science B.V. All rights reserved.

引用

页码：271 / 298

页数：28

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