Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Baek, J. S. | - |
dc.contributor.author | Park, J. A. | - |
dc.contributor.author | Hwang, S. Y. | - |
dc.date.available | 2021-02-22T13:02:33Z | - |
dc.date.issued | 2012-05 | - |
dc.identifier.issn | 0094-9655 | - |
dc.identifier.issn | 1563-5163 | - |
dc.identifier.uri | https://scholarworks.sookmyung.ac.kr/handle/2020.sw.sookmyung/12363 | - |
dc.description.abstract | This article is concerned with a general class of conditionally heteroscedastic time series including possibly nonlinear and asymmetric autoregressive conditional heteroscedastic (ARCH) and generalized ARCH models. A problem of preliminary test of fit (PTF, hereafter) within the broad class under consideration is discussed. It is noted that contrary to usual tests in the literature of conditionally heteroscedastic time series, PTF does not require any specification of the conditional variance in advance. Based on the joint limit distributions of sample autocorrelations, a certain Portmanteau-type statistic for PTF is proposed, and its limit is shown to be a chi-square distribution. In addition, some simulation studies, under various innovations, are reported to support our theoretical results. | - |
dc.format.extent | 19 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | TAYLOR & FRANCIS LTD | - |
dc.title | Preliminary test of fit in a general class of conditionally heteroscedastic nonlinear time series | - |
dc.type | Article | - |
dc.publisher.location | 영국 | - |
dc.identifier.doi | 10.1080/00949655.2011.558087 | - |
dc.identifier.scopusid | 2-s2.0-84860125897 | - |
dc.identifier.wosid | 000303235400008 | - |
dc.identifier.bibliographicCitation | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, v.82, no.5, pp 763 - 781 | - |
dc.citation.title | JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | - |
dc.citation.volume | 82 | - |
dc.citation.number | 5 | - |
dc.citation.startPage | 763 | - |
dc.citation.endPage | 781 | - |
dc.type.docType | Article | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | scie | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Computer Science | - |
dc.relation.journalResearchArea | Mathematics | - |
dc.relation.journalWebOfScienceCategory | Computer Science, Interdisciplinary Applications | - |
dc.relation.journalWebOfScienceCategory | Statistics & Probability | - |
dc.subject.keywordPlus | RESIDUAL AUTOCORRELATIONS | - |
dc.subject.keywordPlus | VARIANCE | - |
dc.subject.keywordPlus | MODELS | - |
dc.subject.keywordAuthor | conditional heteroscedasticity | - |
dc.subject.keywordAuthor | nonlinear GARCH | - |
dc.subject.keywordAuthor | nonlinear time series | - |
dc.subject.keywordAuthor | preliminary test of fit | - |
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