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

DOI10.1214/AOS/1018031109zbMATH Open0943.62092OpenAlexW1522812023MaRDI QIDQ1807171FDOQ1807171

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

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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)

Cites Work

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• Contiguity of Probability Measures
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• Deconvolution and estimation of transfer function phase and coefficients for nongaussian linear processes
• Testing that a stationary time series is Gaussian

Cited In (49)

• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• On the Bickel-Rosenblatt test for first-order autoregressive models
• On the residuals of autoregressive processes and polynomial regression
• Analysis of the forward search using some new results for martingales and empirical processes
• A nonparametric test for the change of the density function in strong mixing processes.
• Empirical distribution function under heteroscedasticity
• Diagnostic test for unstable autoregressive models
• Title not available (Why is that?)
• Maximum entropy test for GARCH models
• Location and scale-based CUSUM test with application to autoregressive models
• Copula parameter change test for nonlinear AR models with nonlinear GARCH errors
• The Bickel--Rosenblatt test for diffusion processes
• Theory & Methods: ε‐Repetitions of the Maximum Residuals in an AR(1) Model
• A note on the Jarque-Bera normality test for GARCH innovations
• Monitoring Distributional Changes in Autoregressive Models
• Studentized autoregressive time series residuals
• Inference for semiparametric Gaussian copula model adjusted for linear regression using residual ranks
• Conditional value-at-risk: semiparametric estimation and inference
• Empirical and rank processes of observations and residuals
• Hill's estimator for the tail index of an ARMA model
• A quantile-based test for symmetry of weakly dependent processes
• Asymptotic properties of mildly explosive processes with locally stationary disturbance
• Residual Empirical Processes and Weighted Sums for Time-Varying Processes with Applications to Testing for Homoscedasticity
• Test for conditional quantile change in GARCH models
• A note on Jarque-Bera normality test for ARMA-GARCH innovations
• Partial sums of lagged cross-products of AR residuals and a test for white noise
• Entropy test and residual empirical process for autoregressive conditional duration models
• On testing for independence between the innovations of several time series
• Maximum entropy test for autoregressive models
• On residual empirical processes of GARCH-SM models: application to conditional symmetry tests
• Change point detection in copula ARMA-GARCH models
• Sequential empirical process in autoregressive models with measurement errors
• Some remarks on regression with autoregressive errors and their residual processes
• A divergence test for autoregressive time series models
• Residual empirical processes for nearly unstable long-memory time series
• A maximum entropy type test of fit: composite hypothesis case
• The empirical process of autoregressive residuals
• On the cusum of squares test for variance change in nonstationary and nonparametric time series models
• THE SIGN TEST FOR STOCHASTIC PROCESSES
• Residual empirical processes for long and short memory time series
• Jarque-Bera normality test for the driving Lévy process of a discretely observed univariate SDE
• Omnibus goodness of fit test based on quadratic distance
• Test for Parameter Change in ARIMA Models
• On the Bickel–Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes
• A limit process for a sequence of partial sums of residuals of a simple regression on order statistics with Markov-modulated noise
• Factor and Idiosyncratic Empirical Processes
• Goodness-of-fit test using residuals in infinite-order autoregressive models
• A test for independence of two stationary infinite order autoregressive processes
• Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series

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