Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models

DOI10.1214/AOS/1028144857zbMATH Open0932.62064OpenAlexW2021890270MaRDI QIDQ1807086FDOQ1807086

Authors: Shiqing Ling 

Publication date: 9 November 1999

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1028144857

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zbMATH Keywords

weak convergenceBrownian motionsKiefer processsequential empirical processesnonstationary autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Functional limit theorems; invariance principles (60F17) Foundations of stochastic processes (60G05)

Cites Work

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• Limiting distributions of least squares estimates of unstable autoregressive processes
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Weak convergence of the sequential empirical processes of residuals in ARMA models
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• Estimation of the distribution function of noise in stationary processes
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Weak convergence of the residual empirical process in explosive autoregression
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

Cited In (21)

• Testing hypotheses on the ``drift of parameters in ARMA and ARCH models
• Diagnostic test for unstable autoregressive models
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Regression quantiles for unstable autoregressive models
• The Bickel--Rosenblatt test for diffusion processes
• Covariance changes detection in multivariate time series
• Hill's estimator for the tail index of an ARMA model
• Change-point tests for the error distribution in nonparametric regression
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Weak convergence of the sequential empirical processes of residuals in TAR models
• Sequential empirical process in autoregressive models with measurement errors
• Testing the hypothesis on the ``drift of parameters in the moving average model
• The empirical process of autoregressive residuals
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• Residual empirical processes for long and short memory time series
• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• Testing stochastic dominance with many conditioning variables
• Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
• Fitting an error distribution in some heteroscedastic time series models
• Title not available (Why is that?)
• Factor and Idiosyncratic Empirical Processes

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