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Consider an \(\text{AR}(p)\) model \(X_i= \sum^p_{l=1} \phi_l X_{i-l}+ \varepsilon_i\), where the \(\varepsilon_i\)'s are independent and have distribution \(F\) belonging to the domain of attraction of a stable law with index \(\alpha\in(0, 2)\). Let \(\widehat\phi= (\widehat\phi_0,\dots, \widehat\phi_l)\) be a consistent estimate of \(\phi= (\phi_0,\dots,\phi_l)\) and define the residuals \(e_{in}\;,1\leq i\leq n,\) by \[ e_{in}= X_i- \widehat\phi_0- \sum^p_{l=1} \widehat\phi_l X_{i-l}\qquad (1\leq i\leq n). \] For \({\mathbf t}= (t_1,\dots, t_m)\) define \[ \begin{aligned} \widetilde{\mathbf F}_{n,m}({\mathbf t}) &=n_m^{-1} \sum^{n_m}_{i=1} I\,(\varepsilon_i\leq t_1,\dots, \varepsilon_{i+m-1}\leq t_m),\\ {\mathbf F}_m({\mathbf t}) &= \prod^m_{l=1} F(t_l),\quad \widetilde{\mathbf K}_{n,m}({\mathbf t})= \sqrt{n_m} (\widetilde{\mathbf F}_{n,m}({\mathbf t})-{\mathbf F}_m({\mathbf t})).\end{aligned} \] Assume that \(\sqrt{n}(\widehat\phi_0- \phi_0)\) converges weakly to some \(Z_0\) and that \(\widetilde a_n(\widehat\phi_1- \phi_1,\dots, \widehat\phi_p- \phi_p)\) converges weakly to \((Z_1,\dots,Z_p)\) for some sequence \(\widetilde a_n= n^{1/\alpha}\widetilde L(n)\) with \(\widetilde L\) a slowly varying function. In this paper, among others, the authors establish that under some additional conditions \(\widetilde{\mathbf K}_{n,m}({\mathbf t})\) converges weakly to some process \(\widetilde{\mathbf K}_m\) having an explicit representation. The results are applied to tests of goodness-of-fit and randomness and to the classical portmanteau type statistics. A simulation study is also given. | |||
Property / review text: Consider an \(\text{AR}(p)\) model \(X_i= \sum^p_{l=1} \phi_l X_{i-l}+ \varepsilon_i\), where the \(\varepsilon_i\)'s are independent and have distribution \(F\) belonging to the domain of attraction of a stable law with index \(\alpha\in(0, 2)\). Let \(\widehat\phi= (\widehat\phi_0,\dots, \widehat\phi_l)\) be a consistent estimate of \(\phi= (\phi_0,\dots,\phi_l)\) and define the residuals \(e_{in}\;,1\leq i\leq n,\) by \[ e_{in}= X_i- \widehat\phi_0- \sum^p_{l=1} \widehat\phi_l X_{i-l}\qquad (1\leq i\leq n). \] For \({\mathbf t}= (t_1,\dots, t_m)\) define \[ \begin{aligned} \widetilde{\mathbf F}_{n,m}({\mathbf t}) &=n_m^{-1} \sum^{n_m}_{i=1} I\,(\varepsilon_i\leq t_1,\dots, \varepsilon_{i+m-1}\leq t_m),\\ {\mathbf F}_m({\mathbf t}) &= \prod^m_{l=1} F(t_l),\quad \widetilde{\mathbf K}_{n,m}({\mathbf t})= \sqrt{n_m} (\widetilde{\mathbf F}_{n,m}({\mathbf t})-{\mathbf F}_m({\mathbf t})).\end{aligned} \] Assume that \(\sqrt{n}(\widehat\phi_0- \phi_0)\) converges weakly to some \(Z_0\) and that \(\widetilde a_n(\widehat\phi_1- \phi_1,\dots, \widehat\phi_p- \phi_p)\) converges weakly to \((Z_1,\dots,Z_p)\) for some sequence \(\widetilde a_n= n^{1/\alpha}\widetilde L(n)\) with \(\widetilde L\) a slowly varying function. In this paper, among others, the authors establish that under some additional conditions \(\widetilde{\mathbf K}_{n,m}({\mathbf t})\) converges weakly to some process \(\widetilde{\mathbf K}_m\) having an explicit representation. The results are applied to tests of goodness-of-fit and randomness and to the classical portmanteau type statistics. A simulation study is also given. / rank | |||
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Property / reviewed by | |||
Property / reviewed by: Ken-ichi Yoshihara / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62M10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62G10 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60F05 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62E20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 65C60 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6031355 / rank | |||
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Property / zbMATH Keywords | |||
stable distributions | |||
Property / zbMATH Keywords: stable distributions / rank | |||
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independence tests | |||
Property / zbMATH Keywords: independence tests / rank | |||
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goodness-of-fit tests | |||
Property / zbMATH Keywords: goodness-of-fit tests / rank | |||
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portmanteau statistics | |||
Property / zbMATH Keywords: portmanteau statistics / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jmva.2012.01.018 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W3121848610 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 04:30, 5 July 2024
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English | Empirical processes for infinite variance autoregressive models |
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Empirical processes for infinite variance autoregressive models (English)
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7 May 2012
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Consider an \(\text{AR}(p)\) model \(X_i= \sum^p_{l=1} \phi_l X_{i-l}+ \varepsilon_i\), where the \(\varepsilon_i\)'s are independent and have distribution \(F\) belonging to the domain of attraction of a stable law with index \(\alpha\in(0, 2)\). Let \(\widehat\phi= (\widehat\phi_0,\dots, \widehat\phi_l)\) be a consistent estimate of \(\phi= (\phi_0,\dots,\phi_l)\) and define the residuals \(e_{in}\;,1\leq i\leq n,\) by \[ e_{in}= X_i- \widehat\phi_0- \sum^p_{l=1} \widehat\phi_l X_{i-l}\qquad (1\leq i\leq n). \] For \({\mathbf t}= (t_1,\dots, t_m)\) define \[ \begin{aligned} \widetilde{\mathbf F}_{n,m}({\mathbf t}) &=n_m^{-1} \sum^{n_m}_{i=1} I\,(\varepsilon_i\leq t_1,\dots, \varepsilon_{i+m-1}\leq t_m),\\ {\mathbf F}_m({\mathbf t}) &= \prod^m_{l=1} F(t_l),\quad \widetilde{\mathbf K}_{n,m}({\mathbf t})= \sqrt{n_m} (\widetilde{\mathbf F}_{n,m}({\mathbf t})-{\mathbf F}_m({\mathbf t})).\end{aligned} \] Assume that \(\sqrt{n}(\widehat\phi_0- \phi_0)\) converges weakly to some \(Z_0\) and that \(\widetilde a_n(\widehat\phi_1- \phi_1,\dots, \widehat\phi_p- \phi_p)\) converges weakly to \((Z_1,\dots,Z_p)\) for some sequence \(\widetilde a_n= n^{1/\alpha}\widetilde L(n)\) with \(\widetilde L\) a slowly varying function. In this paper, among others, the authors establish that under some additional conditions \(\widetilde{\mathbf K}_{n,m}({\mathbf t})\) converges weakly to some process \(\widetilde{\mathbf K}_m\) having an explicit representation. The results are applied to tests of goodness-of-fit and randomness and to the classical portmanteau type statistics. A simulation study is also given.
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stable distributions
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independence tests
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goodness-of-fit tests
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portmanteau statistics
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