Empirical process of the squared residuals of an arch sequence
Horváth, Lajos ; Teyssière, Gilles
Ann. Statist., Tome 29 (2001) no. 2, p. 445-469 / Harvested from Project Euclid
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We derive the asymptotic distribution of the sequential empirical process of the squared residuals of an ARCH(p) sequence. Unlike the residuals of an ARMA process, these residuals do not behave in this context like asymptotically independent random variables, and the asymptotic distribution involves a term depending on the parameters of the model. We show that in certain applications, including the detection of changes in the distribution of the unobservable innovations, our result leads to asymptotically distribution free statistics.
Publié le : 2001-04-14
Classification:  ARCH model,  empirical process,  squared residuals,  62G30,  62G20 
@article{1009210548,
     author = {Horv\'ath, Lajos and Teyssi\`ere, Gilles},
     title = {Empirical process of the squared residuals of an arch
			 sequence},
     journal = {Ann. Statist.},
     volume = {29},
     number = {2},
     year = {2001},
     pages = { 445-469},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1009210548}
}

Horváth, Lajos; Teyssière, Gilles. Empirical process of the squared residuals of an arch
			 sequence. Ann. Statist., Tome 29 (2001) no. 2, pp.  445-469. http://gdmltest.u-ga.fr/item/1009210548/