Residual empirical processes for long and short memory time series (Q955149)

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Residual empirical processes for long and short memory time series

scientific article; zbMATH DE number 5368498

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English	Residual empirical processes for long and short memory time series	scientific article; zbMATH DE number 5368498

Statements

instance of

scholarly article

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title

Residual empirical processes for long and short memory time series (English)

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The Annals of Statistics

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publication date

18 November 2008

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full work available at URL

https://arxiv.org/abs/0811.0697

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zbMATH Keywords

empirical process

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long-memory time series

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residuals

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unit root

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weak convergence

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MaRDI profile type

MaRDI publication profile

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cites work

Weak convergence of the sequential empirical processes of residuals in ARMA models

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Testing for Parameter Constancy in Linear Regressions: An Empirical Distribution Function Approach

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Inference for unstable long-memory processes with applications to fractional unit root autoregressions

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Limiting distributions of least squares estimates of unstable autoregressive processes

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The empirical process of some long-range dependent sequences with an application to U-statistics

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Q4127783

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Q5624436

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Q3911791

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On the asymptotic expansion of the empirical process of long-memory moving averages

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Limit theorems for functionals of moving averages

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Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series

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Weighted empirical processes in dynamic nonlinear models.

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Fitting an error distribution in some heteroscedastic time series models

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Asymptotic expansion of \(M\)-estimators with long-memory errors

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Q4660424

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On residual empirical processes of stochastic regression models with applications to time series

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Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models

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Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

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Semiparametric estimation from time series with long-range dependence

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Gaussian semiparametric estimation of long range dependence

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Log-periodogram regression of time series with long range dependence

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Time series regression with long-range dependence

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The Fractional Unit Root Distribution

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Weak convergence to fractional brownian motion and to the rosenblatt process

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Asymptotic Distribution of Least Squares Estimators for Purely Unstable Arma (m,∞)

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ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS

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Empirical processes of long-memory sequences

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UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES

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Identifiers

zbMATH Open document ID

1205.62128

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DOI

10.1214/07-AOS543

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Residual empirical processes for long and short memory time series