Diagnostic checking integer-valued ARCH(p) models using conditional residual autocorrelations

Computational Statistics and Data Analysis

Volumn 54, Issue 2, 2010, Pages 496-508

  Zhu, Fukang ^a   Wang, Dehui ^a  

^a JILIN UNIVERSITY   (China)

Author keywords

[No Author keywords available]

Indexed keywords

ASYMPTOTIC DISTRIBUTIONS; ASYMPTOTIC THEORIES; FINITE SAMPLE PROPERTIES; MONTE CARLO SIMULATION; REAL-WORLD APPLICATION;

ARCHES; ASYMPTOTIC ANALYSIS; COMPUTER SIMULATION; CORRELATION DETECTORS; MONTE CARLO METHODS; SAMPLING; STATISTICAL TESTS; TIME SERIES;

MODEL CHECKING;

EID: 70350567862     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2009.09.019     Document Type: Article

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