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Multi-sample cramer-von mises tests for ARCH residual empirical process

Vanualailai, Jito and Chandra, Subash A. and Prasad, Avinesh and Sharma, Bibhya N. (2006) Multi-sample cramer-von mises tests for ARCH residual empirical process. Far East Journal of Theoretical Statistics, 20 (1). pp. 37-72. ISSN 0972-0863

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Abstract

This paper gives the asymptotic theory of a class of Cramer-von Mises statistics for the m-sample problem pertaining to the empirical processes based on the square residuals from a class of ARCH models. An important aspect is that, unlike the residuals of ARMA models the asymptotic models depends on those of ARCH volatility estimators. Based on the asymptotics of , we numerically assess the relative asymptotics efficiency and ARCH volatility effect for some ARCH residuals distributions. Then this aspect of based on such residual distributions is illustrated numerically. In contrast with the independent, identically distributed or ARMA settings, these studies illuminate some interesting feature of ARCH residuals.

Item Type: Journal Article
Subjects: Q Science > QA Mathematics
Divisions: Faculty of Science, Technology and Environment (FSTE) > School of Computing, Information and Mathematical Sciences
Depositing User: Ms Neha Harakh
Date Deposited: 15 Mar 2006 14:41
Last Modified: 23 May 2012 17:13
URI: http://repository.usp.ac.fj/id/eprint/4052
UNSPECIFIED

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