On the residuals of autoregressive processes and polynomial regression

DOI10.1016/0304-4149(85)90380-1zbMath0584.62144OpenAlexW1980948568MaRDI QIDQ1069631

B. George

Publication date: 1985

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(85)90380-1

zbMATH Keywords

parameter estimationBrownian motionpolynomial regressionasymptotic representationautoregressionSkorokhod representationapproximate log likelihood functionsasymptotic behaviour of the residualsgeneralized Brownian bridgesordinary least squares fittingresidual partial sums

Mathematics Subject Classification ID

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

Related Items (19)

ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS ⋮ Effect of dependence on statistics for determination of change ⋮ A month carlo approximation of the distributions of the maximum of various brownjan bridges ⋮ Testing for parameter stability in nonlinear autoregressive models ⋮ On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ On the detection of changes in autoregressive time series. I: Asymptotics. ⋮ A uniform central limit theorem for neural network-based autoregressive processes with applications to change-point analysis ⋮ Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series ⋮ Changepoints in times series of counts ⋮ Testing for changes in the mean or variance of a stochastic process under weak invariance ⋮ Change in autoregressive processes ⋮ High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications ⋮ On the distribution of the maximum of brownian bridges with application to regression with correlated errors ⋮ The effect of long-range dependence on change-point estimators ⋮ Hölder convergence of autoregression residuals partial sum processes ⋮ Spike detection for calcium activity ⋮ Subset regression time series and its modeling procedures ⋮ Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times ⋮ Structural breaks in time series

Cites Work

• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Weak Convergence of a Two-sample Empirical Process and a New Approach to Chernoff-Savage Theorems
• Linear Statistical Inference and its Applications
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