Asymptotic distribution of the estimated BDS statistic from the residuals of location-scale type processes

Authors
Lai, DJ
Citation
Dj. Lai, Asymptotic distribution of the estimated BDS statistic from the residuals of location-scale type processes, STATISTICS, 34(2), 2000, pp. 117-135
Citations number
25
Categorie Soggetti
Mathematics
Journal title
STATISTICS
ISSN journal
02331888 → ACNP
Volume
34
Issue
2
Year of publication
2000
Pages
117 - 135
Database
ISI
SICI code
0233-1888(2000)34:2<117:ADOTEB>2.0.ZU;2-S
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 standard ized residuals of fitting location-scale type processes.