Residual analysis for ARCH(p)-time series

• Autores: Winfried Stute
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 10, Nº. 2, 2001, págs. 393-403
• Idioma: inglés
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• Resumen

  • 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