کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
10525193 | 957926 | 2005 | 36 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Checking nonlinear heteroscedastic time series models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Checking nonlinear heteroscedastic time series models Checking nonlinear heteroscedastic time series models](/preview/png/10525193.png)
چکیده انگلیسی
A procedure for testing simultaneously, the parametric forms of the conditional mean and the conditional variance functions of a real-valued heteroscedastic time series model is proposed. The Wald test statistic is based on a vector whose components are suitable normalized sums of some weighted residual series. The test is consistent under some fixed alternatives. The local power under two sequences of local alternatives is studied. A LAN property for the parametric model of interest is also established. Experiment conducted shows that the test performs well on the examples tested.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 133, Issue 1, 1 July 2005, Pages 33-68
Journal: Journal of Statistical Planning and Inference - Volume 133, Issue 1, 1 July 2005, Pages 33-68
نویسندگان
Joseph Ngatchou-Wandji,