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Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes

 

作者: Dejian Lai,  

 

期刊: Statistics  （Taylor Available online 2000）
卷期: Volume 34, issue 2  

页码: 117-135

 

ISSN:0233-1888

 

年代: 2000

 

DOI:10.1080/02331880008802322

 

出版商: Gordon & Breach Science Publishers

 

关键词: AR;ARCH;BDS statistic;chaos;local asymptotic normality;nonlinear processes

 

数据来源: Taylor

 

摘要:

We introduce local asymptotic normality (LAN) for the log-likelihood ratio and the contiguity property of a class of location-scale processes in this paper. Using the contiguity property, we study the asymptotic distribution of the estimated Brock-Dechert-Scheinkman (BDS) statistic from the standardized residuals of fitting location-scale type processes.

 

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