期刊
TEST
卷 27, 期 1, 页码 3-26出版社
SPRINGER
DOI: 10.1007/s11749-016-0521-3
关键词
Independence tests; Serial independence; Randomness; GARCH models; Residuals; Squared residuals; Empirical processes; Empirical copula; Multipliers; Bootstrap
资金
- Natural Sciences and Engineering Research Council of Canada
- Fonds quebecois de la recherche sur la nature et les technologies
- National Research Foundation of the United Arab Emirates
In this paper, one studies the asymptotic behavior of empirical processes based on consecutive residuals of univariate conditional mean and variance models. These processes are then used to develop tests of serial independence of the innovations. Even if the limiting distributions of the empirical processes depend on unknown parameters, it is shown that a Monte Carlo method based on the so-called multipliers can be applied to estimate the P values of the proposed test statistics. A simulation study is carried out to demonstrate the effectiveness of the proposed tests and the behavior of the statistics is also studied under contiguous alternatives.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据