A note on the residual empirical process in autoregressive models

DOI10.1016/S0167-7152(96)00100-9zbMath0901.62111MaRDI QIDQ1380552

Sangyeol Lee

Publication date: 2 December 1998

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(96)00100-9

zbMATH Keywords

goodness-of-fit test; residual empirical process; stationary AR(p) process

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60G10: Stationary stochastic processes

Related Items

Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals, Empirical processes for infinite variance autoregressive models, Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, On partial-sum processes of ARMAX residuals

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