|
|||||
|
|
Residual analysis for ARCH(p)-time series |
|
| Authors: | Winfried Stute |
| Affiliation: | (1) Mathematical Institute, University of Giessen, Arndtstr. 2, D-35392 Giessen, Germany |
| Abstract: | In this paper we provide consistency and distributional convergence results for functions of residuals from an ARCH(p)-time series. An application to a goodness-of-fit problem is also discussed. |
| Keywords: | ARCH(p)-time series consistency distributional convergence goodness-of-fit |
| 本文献已被 SpringerLink 等数据库收录！ | |