Bouhaddioui, Chafik; Ghoudi, Kilani - In: Journal of Multivariate Analysis 107 (2012) C, pp. 319-335
The paper proposes new procedures for diagnostic checking of fitted models under the assumption of infinite-variance errors which are in the domain of attraction of a stable law. These procedures are functional of residual-based empirical processes. First, the asymptotic distributions of the...