A test of conditional heteroscedasticity in time series
文献类型：期刊论文
| 作者 | Chen, M ; An, HZ
|
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
 |
| 出版日期 | 1999 |
| 卷号 | 42期号:1页码:26-37 |
| 关键词 | nonlinear time series model the conditional heteroscedasticity hypothesis test |
| ISSN号 | 1006-9283 |
| 英文摘要 | 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-von Mises type test statistic. The asymptotic properties of the new test statistic is establised. The results demonstrate that such a test is consistent. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000078523500004 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/14453]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Chen, M |
| 作者单位 | 1.Acad Sinica, Inst Syst Sci, Beijing 100080, Peoples R China 2.Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, M,An, HZ. A test of conditional heteroscedasticity in time series[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,1999,42(1):26-37. |
| APA | Chen, M,&An, HZ.(1999).A test of conditional heteroscedasticity in time series.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,42(1),26-37. |
| MLA | Chen, M,et al."A test of conditional heteroscedasticity in time series".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 42.1(1999):26-37. |
入库方式： OAI收割
来源：数学与系统科学研究院
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