Weak convergence of the residual empirical process in explosive autoregression

DOI10.1214/aos/1176347395zbMath0695.60042OpenAlexW2006752846MaRDI QIDQ910097

Shlomo Levental, Hira L. Koul

Publication date: 1989

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176347395

zbMATH Keywords

Brownian bridgeempirical processmartingale-differencesexplosive autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)

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