A note on the residual empirical process in autoregressive models

DOI10.1016/S0167-7152(96)00100-9zbMATH Open0901.62111OpenAlexW1980887862MaRDI QIDQ1380552FDOQ1380552

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

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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)

Cites Work

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• Asymptotics for linear processes
• Weak convergence of the sample distribution function when parameters are estimated
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• Testing normality in autoregressive models
• sequential estimation of the mean of a linear process
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Fredholm Determinant of a Positive Definite Kernel of a Special Type and Its Application
• Testing goodness of fit for the distribution of errors in regression models
• Infrence for non-negative autoregressive schemes
• On ar(1) processes with exponential white noise
• NON-NEGATIVE AUTOREGRESSIVE PROCESSES

Cited In (12)

• On the residuals of autoregressive processes and polynomial regression
• Residual empirical processes and qualitatively robust GM-tests in autoregression
• Diagnostic tests for innovations of ARMA models using empirical processes of residuals
• On partial-sum processes of ARMAX residuals
• Empirical and rank processes of observations and residuals
• On residual empirical processes of stochastic regression models with applications to time series
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• 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
• Sequential empirical process in autoregressive models with measurement errors
• The empirical process of autoregressive residuals
• Empirical processes for infinite variance autoregressive models

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