On partial-sum processes of ARMAX residuals

DOI10.1214/18-AOS1776zbMath1435.62325OpenAlexW2595300135MaRDI QIDQ2284371

Steffen Grønneberg, Benjamin Holcblat

Publication date: 15 January 2020

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

Full work available at URL: https://projecteuclid.org/euclid.aos/1572487391

zbMATH Keywords

change-point problemslinear and nonlinear regressionautocorrelated errorsCUSUM testweak GARCHheteroscedastic errorsARMAX residualsinfinite-variance errorskernel density estimation of ARMAX errorsmisspecified ARMAXnonlinear ARMAXseasonal dummy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Economic time series analysis (91B84) Functional limit theorems; invariance principles (60F17) Diagnostics, and linear inference and regression (62J20)

Related Items

Inference and model selection in general causal time series with exogenous covariates, Real-time detection of a change-point in a linear expectile model, On partial-sum processes of ARMAX residuals

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