Empirical process of the squared residuals of an ARCH sequence

被引：0

作者：

Horváth, L

Kokoszka, P

Teyssière, G

机构：

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

[2] Commiss European Communities, Joint Res Ctr, ISIS, I-21020 Ispra, VA, Italy

[3] Univ Liverpool, Liverpool L69 3BX, Merseyside, England

来源：

ANNALS OF STATISTICS | 2001年 / 29卷 / 02期

关键词：

ARCH model; empirical process; squared residuals;

D O I：

暂无

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 derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave in this context like asymptotically independent random variables, and the asymptotic distribution involves a term depending on the parameters of the model. We show that in certain applications, including the detection of changes in the distribution of the unobservable innovations, our result leads to asymptotically distribution free statistics.

引用

页码：445 / 469

页数：25

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