Event
Kilani Ghoudi, Department of Statistics, United Arab Emirates University
Thursday, March 29, 2018 16:30to17:30
Room D4-1019, Universit茅 de Sherbrooke, 2500 Boul. de l'Universit茅, Sherbrooke, QC, J1K 2R1, CA
Conditional homoscedasticity test in time series with dependent innovations
Using a functional limits of certain cumulative residual processes, the talk proposes several tests for examining hypotheses about conditional variance functions for a time series with martingale innovations. Resampling techniques used to compute P-values and critical values of the proposed tests are also discussed. A simulation study is presented to demonstrate the behavior of the proposed tests in small sample situations.