22 citations · 22 across the 6 of their papers we have counts for
Showing 2015Show all
2 papers · 1 filter
stat.ME2015
A Smoothed P-Value Test When There is a Nuisance Parameter under the Alternative
Jonathan B. Hill
We present a new test when there is a nuisance parameter under the alternative hypothesis. The test exploits the p-value occupation time [PVOT], the measure of the nuisance paramet…
math.ST2015★ 22 cited
Robust estimation and inference for heavy tailed GARCH
Jonathan B. Hill
We develop two new estimators for a general class of stationary GARCH models with possibly heavy tailed asymmetrically distributed errors, covering processes with symmetric and asy…