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5. A test of conditional heteroscedasticity in time series

A test of conditional heteroscedasticity in time series

来源 :中国科学：数学英文版 | 被引量 : 0次 | 上传用户：pppp7799

【摘 要】

：

A new test of conditional heteroscedasticity for time series is proposed. The new testing method is based on a goodness of fit type test statistics and a Cramer

【作 者】

：

陈敏 安鸿志 

【机 构】

：

1.InstituteofSystemsScience,2.InstituteofAppliedMathematics

【出 处】

：

中国科学：数学英文版

【发表日期】

：

1999年1期

【关键词】

：

NONLINEAR TIME series model the CONDITIONAL HETEROSCEDASTICITY HYPOTHESIS test. 

【基金项目】

：

Project supported by the National Natural Science Foundation of China (Grant No. 19231050),Postdoctoral Fund of China

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A new test of conditional heteroscedasticity for time series is proposed. The new testing method is based on a goodness of fit type test statistics and a Cramer-von Mises type test statistic. The asymptotic properties of the new test statistic is establis

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