The empirical process of autoregressive residuals
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Publication:3161682
DOI10.1111/j.1368-423X.2009.00282.xzbMath1206.62147MaRDI QIDQ3161682
Publication date: 15 October 2010
Published in: Econometrics Journal (Search for Journal in Brave)
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Order statistics; empirical distribution functions (62G30)
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Analysis of the forward search using some new results for martingales and empirical processes ⋮ Reweighted least trimmed squares: an alternative to one-step estimators ⋮ Weak convergence of marked empirical processes for focused inference on \(\mathrm{AR}(p)\) vs \(\mathrm{AR}(p+1)\) stationary time series ⋮ Semiparametrically weighted robust estimation of regression models ⋮ When uniform weak convergence fails: empirical processes for dependence functions and residuals via epi- and hypographs ⋮ ANALYSIS OF COEXPLOSIVE PROCESSES ⋮ On partial-sum processes of ARMAX residuals ⋮ Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models ⋮ EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS ⋮ Discussion: The forward search: theory and data analysis
Uses Software
Cites Work
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