On partial-sum processes of ARMAX residuals

DOI10.1214/18-AOS1776MaRDI QIDQ2284371zbMATH OpenOpenAlexFDO

Authors Steffen Grønneberg, Benjamin Holcblat

Publication date 15 January 2020

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

Full work available at URL https://projecteuclid.org/euclid.aos/1572487391

zbMATH Keywords

ARMAX residualsautocorrelated errorschange-point problemsCUSUM testheteroscedastic errorsinfinite-variance errorskernel density estimation of ARMAX errorslinear and nonlinear regressionmisspecified ARMAXnonlinear ARMAXseasonal dummyweak GARCH

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional data analysis (62R10) Economic time series analysis (91B84)

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Cited in

(8)

• Inference and model selection in general causal time series with exogenous covariates
• Real-time detection of a change-point in a linear expectile model
• On partial-sum processes of ARMAX residuals
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process
• Residual autocorrelation distribution in the validation data set
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
• Non-parametric regression among factor scores: motivation and diagnostics for nonlinear structural equation models

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