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Testing for change in mean of heteroskedastic time series
Brownian bridge changes in mean functional central limit theorem heteroskedasticity time series
2011/3/23
In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, ...
Testing for the Markov Property in Time Series
Markov property Conditional characteristic function Generalized cross-spectrum Smoothed nonparametric bootstrap
2011/4/6
The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characte...
Testing Continuous-Time Models of the Spot Interest Rate
Testing Continuous-Time Models Spot Interest Rate
2014/3/13
Testing Continuous-Time Models of the Spot Interest Rate.