The functional central limit theorem for a family of GARCH observations with applications

被引：18
|
作者：
Berkes, Istvan [1 ]
Hoermann, Siegfried [2 ]
Horvath, Lajos [2 ]
机构：
[1] Graz Univ Technol, Inst Stat, A-8010 Graz, Austria
[2] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 16期
关键词：
D O I：
10.1016/j.spl.2008.03.021
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We consider polynomial GARCH(p, q) variables which define an important subclass of Duan's augmented GARCH(p, q) processes. We prove functional central limit theorems for the observations as well as for the volatility process under the assumption of finite second moments. The results imply the convergence of CUSUM, MOSUM and Dickey-Fuller Statistics Under optimal conditions. (c) 2008 Elsevier B.V. All rights reserved.
引用
收藏
页码：2725 / 2730
页数：6
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