A note on the residual empirical process in autoregressive models

DOI10.1016/S0167-7152(96)00100-9MaRDI QIDQ1380552zbMATHOpenAlexFDO

Authors 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 testresidual empirical processstationary AR(p) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 3963031 (Why is no real title available?)
• scientific article; zbMATH DE number 1416392 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Asymptotics for linear processes
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Fredholm Determinant of a Positive Definite Kernel of a Special Type and Its Application
• Infrence for non-negative autoregressive schemes
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES
• On ar(1) processes with exponential white noise
• Testing goodness of fit for the distribution of errors in regression models
• Testing normality in autoregressive models
• Weak convergence of the sample distribution function when parameters are estimated
• sequential estimation of the mean of a linear process

Cited in

(12)

• On residual empirical processes of stochastic regression models with applications to time series
• On the residuals of autoregressive processes and polynomial regression
• Diagnostic tests for innovations of ARMA models using empirical processes of residuals
• Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown
• Entropy test and residual empirical process for autoregressive conditional duration models
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• On partial-sum processes of ARMAX residuals
• Sequential empirical process in autoregressive models with measurement errors
• Empirical processes for infinite variance autoregressive models
• The empirical process of autoregressive residuals
• Residual empirical processes and qualitatively robust GM-tests in autoregression
• Empirical and rank processes of observations and residuals

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