On the residuals of autoregressive processes and polynomial regression
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Publication:1069631
DOI10.1016/0304-4149(85)90380-1zbMath0584.62144OpenAlexW1980948568MaRDI QIDQ1069631
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
parameter estimationBrownian motionpolynomial regressionasymptotic representationautoregressionSkorokhod representationapproximate log likelihood functionsasymptotic behaviour of the residualsgeneralized Brownian bridgesordinary least squares fittingresidual partial sums
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)
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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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