Dette, Holger (contributor); Wieczorek, Gabriele (contributor) - 2007
statistics Tn(c), ^c2 and Tn(^c) if
the local linear estimate [see Fan and Gijbels (1996)] is used for estimating the mean and … and T(1:3)1n in (6.22) are treated similarly, which
implies T(1)1n = op(n¡1g¡1=2). A similar argument for the statistics T …¿j (1985). The moment structure of ARCH processes. Scandinavian Journal of Statistics, 12,
281{292.
G. Wieczorek (2007). Tests …