On the residuals of autoregressive processes and polynomial regression
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Publication:1069631
DOI10.1016/0304-4149(85)90380-1zbMath0584.62144MaRDI 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 estimation; Brownian motion; polynomial regression; asymptotic representation; autoregression; Skorokhod representation; approximate log likelihood functions; asymptotic behaviour of the residuals; generalized Brownian bridges; ordinary least squares fitting; residual partial sums
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
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