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Asymptotic Distribution of the Estimated BDS Statistic from The Residuals of Location-Scale Type Processes
Author:
Dejian Lai a
| Affiliation: | a University of Texas, USA |
DOI:
10.1080/02331880008802322
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
PDF
(English)
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Abstract
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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| Keywords: AR; ARCH; BDS statistic; chaos; local asymptotic normality; nonlinear processes |
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