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The empirical distribution function and partial sum process of residuals from a stationary arch with drift process

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  • Janusz Kawczak
  • Reg Kulperger
  • Hao Yu

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  • Janusz Kawczak & Reg Kulperger & Hao Yu, 2005. "The empirical distribution function and partial sum process of residuals from a stationary arch with drift process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(4), pages 747-765, December.
    • Handle: RePEc:spr:aistmt:v:57:y:2005:i:4:p:747-765
    DOI: 10.1007/BF02915436
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    References listed on IDEAS

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    1. An, Hongzhi & Chen, Min & Huang, Fuchun, 1997. "The geometric ergodicity and existence of moments for a class of non-linear time series model," Statistics & Probability Letters, Elsevier, vol. 31(3), pages 213-224, January.
    2. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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