Empirical process of residuals for regression models with long memory errors
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Publication:2452780
Abstract: We consider the residual empirical process in random design regression with long memory errors. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for to the empirical process based on (unobserved) errors. Also, we study a residual empirical process with estimated parameters. Its asymptotic distribution can be used to construct Kolmogorov-Smirnov, Cram'{e}r-Smirnov-von Mises, or other goodness-of-fit tests. Theoretical results are justified by simulation studies.
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- scientific article; zbMATH DE number 1416392 (Why is no real title available?)
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Cited in
(8)- Empirical processes based upon residuals from errors-in-variables regressions
- Empirical process of residuals for high-dimensional linear models
- The empirical process of residuals from an inverse regression
- RESIDUAL EMPIRICAL PROCESS FOR DIFFUSION PROCESSES
- REGRESSION MODEL FITTING WITH A LONG MEMORY COVARIATE PROCESS
- Smooth estimation of error distribution in nonparametric regression under long memory
- Threshold estimation under strong dependence
- Residual empirical processes for long and short memory time series
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