Some remarks on regression with autoregressive errors and their residual processes

DOI10.2307/3214098zbMath0633.62088OpenAlexW2312400577MaRDI QIDQ3771451

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Publication date: 1987

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3214098

zbMATH Keywords

Brownian motionBrownian bridgepolynomial regressionlinear regressionresidualslimit processesdifferencingAR(p) stationary causal random processpolynomial plus centered periodic component regressionresidual partial sum process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Brownian motion (60J65)

Related Items (7)

ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS ⋮ A month carlo approximation of the distributions of the maximum of various brownjan bridges ⋮ On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root ⋮ Regression with integrated regressors ⋮ Time-varying additive model with autoregressive errors for locally stationary time series ⋮ On the distribution of the maximum of brownian bridges with application to regression with correlated errors ⋮ Subset regression time series and its modeling procedures

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