On residual empirical processes of stochastic regression models with applications to time series

DOI10.1214/AOS/1018031109MaRDI QIDQ1807171zbMATH OpenOpenAlexFDO

Authors Sangyeol Lee, Ching-Zong Wei

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/1018031109

zbMATH Keywords

stochastic regression modelsresidual epirical processstationary \(\text{AR}(\infty)\) processunstable AR(q) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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• Test for Parameter Change in ARIMA Models
• On the residuals of autoregressive processes and polynomial regression
• A quantile-based test for symmetry of weakly dependent processes
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• A note on the Jarque-Bera normality test for GARCH innovations
• A nonparametric test for the change of the density function in strong mixing processes.
• Monitoring Distributional Changes in Autoregressive Models
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• THE SIGN TEST FOR STOCHASTIC PROCESSES
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• On testing for independence between the innovations of several time series
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• Some remarks on regression with autoregressive errors and their residual processes
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