Marked empirical processes for non-stationary time series

DOI10.3150/12-BEJ444MaRDI QIDQ2435236zbMATH OpenOpenAlexFDO

Authors Ngai Hang Chan, Rong-Mao Zhang

Publication date 4 February 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1312.3120

zbMATH Keywords

goodness-of-fitlong-memorymarked empirical processquantile regressionunit root

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Consider a first-order autoregressive process $$ where $varepsilo{n}_i=G(et{a}_i,et{a}_{i-1},ldots)$ and $et{a}_i,iinmathbbZ$ are i.i.d. random variables. Motivated by two important issues for the inference of this model, namely, the quantile inference for $$, and the goodness-of-fit for the unit root model, the notion of the marked empirical process $alph{a}_n(x)=frac1nsu{m}_{i=1}^{n}g(X_i/a_n)I(varepsilo{n}_{i}leqx),xinmathbbR$ is investigated in this paper. Herein, $g(cdot)$ is a continuous function on $mathbbR$ and $a_n$ is a sequence of self-normalizing constants. As the innovation $varepsilo{n}_i$ is usually not observable, the residual marked empirical process $hat{alpha}_n(x)=frac1nsu{m}_{i=1}^{n}g(X_i/a_n)I(hat{varepsilon}_{i}leqx),xinmathbbR,$ is considered instead, where $$ and $$ is a consistent estimate of $$ In particular, via the martingale decomposition of stationary process and the stochastic integral result of Jakubowski (Ann. Probab. 24 (1996) 2141-2153), the limit distributions of $alph{a}_n(x)$ and $hat{alpha}_n(x)$ are established when $varepsilo{n}_i$ is a short-memory process. Furthermore, by virtue of the results of Wu (Bernoulli 95 (2003) 809-831) and Ho and Hsing (Ann. Statist. 24 (1996) 992-1024) of empirical process and the integral result of Mikosch and Norvaiv{s}a (Bernoulli 6 (2000) 401-434) and Young (Acta Math. 67 (1936) 251-282), the limit distributions of $alph{a}_n(x)$ and $hat{alpha}_n(x)$ are also derived when $varepsilo{n}_i$ is a long-memory process.

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Cited in

(2)

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