CSpace
A nonparametric test of changing conditional variances in autoregressive time series
Chen, M; Chen, G
2001
Source PublicationCOMMUNICATIONS IN STATISTICS-THEORY AND METHODS
ISSN0361-0926
Volume30Issue:3Pages:557-578
AbstractA nonparametric test for detecting changing conditional variances in stationary AR(p) time series is proposed in this paper. For AR(1) models. the test statistic is a Kolmogorov-Smirnov type statistic and the asymptotic theory is developed under both the null and the alternative hypotheses. For AR(p) models (p greater than or equal to 2), an approximate test procedure is proposed. The empirical upper percentage points for our test are tabulated for both p = 1 and p = 2 cases and a bootstrap procedure is suggested for the p greater than or equal to 3 case. Monte Carlo simulations demonstrate that the test has very good powers for finite samples under both normal and non-normal errors.
Keywordmarked empirical process nonparametric rest changing conditional variance autoregressive model
Language英语
WOS Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000170041600011
PublisherMARCEL DEKKER INC
Citation statistics
Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/16638
Collection中国科学院数学与系统科学研究院
Affiliation1.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
2.Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
Recommended Citation
GB/T 7714
Chen, M,Chen, G. A nonparametric test of changing conditional variances in autoregressive time series[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,2001,30(3):557-578.
APA Chen, M,&Chen, G.(2001).A nonparametric test of changing conditional variances in autoregressive time series.COMMUNICATIONS IN STATISTICS-THEORY AND METHODS,30(3),557-578.
MLA Chen, M,et al."A nonparametric test of changing conditional variances in autoregressive time series".COMMUNICATIONS IN STATISTICS-THEORY AND METHODS 30.3(2001):557-578.
Files in This Item:
There are no files associated with this item.
Related Services
Recommend this item
Bookmark
Usage statistics
Export to Endnote
Google Scholar
Similar articles in Google Scholar
[Chen, M]'s Articles
[Chen, G]'s Articles
Baidu academic
Similar articles in Baidu academic
[Chen, M]'s Articles
[Chen, G]'s Articles
Bing Scholar
Similar articles in Bing Scholar
[Chen, M]'s Articles
[Chen, G]'s Articles
Terms of Use
No data!
Social Bookmark/Share
All comments (0)
No comment.
 

Items in the repository are protected by copyright, with all rights reserved, unless otherwise indicated.