On the quantile process based on the autoregressive residuals.
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Publication:1299375
DOI10.1016/S0378-3758(97)00070-0zbMath1066.62538MaRDI QIDQ1299375
Publication date: 1998
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Empirical process; Goodness-of-fit test; Residual quantile process; Standard Brownian bridge; Stationary AR(p) process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G30: Order statistics; empirical distribution functions
62F05: Asymptotic properties of parametric tests
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Cites Work
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- Strong approximations of the quantile process
- Estimation of the Distribution of Noise in an Autoregression Scheme
- Testing normality in autoregressive models
- A Note on Quantiles in Large Samples
- On Bahadur's Representation of Sample Quantiles
- Convergence of stochastic processes