The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes

DOI10.1111/1467-9892.00119MaRDI QIDQ4255276zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin

Publication date 10 August 1999

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00119

zbMATH Keywords

residualstime seriesnonstationary processautoregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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Cited in

(7)

• Theory & Methods: ε‐Repetitions of the Maximum Residuals in an AR(1) Model
• Marked empirical processes for non-stationary time series
• On residual empirical processes of stochastic regression models with applications to time series
• Functional limit theorems in Hölder space for residuals of nearly nonstationary AR(1) process
• Hölder convergence of autoregression residuals partial sum processes
• The empirical process of autoregressive residuals
• The empirical distribution function and partial sum process of residuals from a stationary ARCH with drift process

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