A note on the residual empirical process in autoregressive models

DOI10.1016/S0167-7152(96)00100-9zbMath0901.62111OpenAlexW1980887862MaRDI QIDQ1380552

Sangyeol Lee

Publication date: 2 December 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00100-9

zbMATH Keywords

goodness-of-fit testresidual empirical processstationary AR(p) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Related Items (4)

Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown ⋮ Empirical processes for infinite variance autoregressive models ⋮ On partial-sum processes of ARMAX residuals ⋮ Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals

Cites Work

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• Asymptotics for linear processes
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• Testing normality in autoregressive models
• Infrence for non-negative autoregressive schemes
• On ar(1) processes with exponential white noise
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• sequential estimation of the mean of a linear process
• Testing goodness of fit for the distribution of errors in regression models
• Fredholm Determinant of a Positive Definite Kernel of a Special Type and Its Application

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