A nonparametric test of changing conditional variances in autoregressive time series

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	A nonparametric test of changing conditional variances in autoregressive time series
	Chen, M; Chen, G
	2001
发表期刊	COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
ISSN	0361-0926
卷号	30 期号:3 页码:557-578
摘要	A 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.
关键词	marked empirical process nonparametric rest changing conditional variance autoregressive model
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000170041600011
出版者	MARCEL DEKKER INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/16638
专题	应用数学研究所
作者单位	1.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China 2.Univ Manitoba, Dept Stat, Winnipeg, MB R3T 2N2, Canada
推荐引用方式 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.