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Theory & Methods: ε‐Repetitions of the Maximum Residuals in an AR(1) Model

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Publication:4540799
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DOI10.1111/1467-842X.00182zbMATH Open0991.62062MaRDI QIDQ4540799FDOQ4540799


Authors: Eka Shinjikashvili Edit this on Wikidata


Publication date: 28 July 2002

Published in: Australian <html_ent glyph="@amp;" ascii="&amp;"/> New Zealand Journal of Statistics (Search for Journal in Brave)





Recommendations

  • On the residuals of autoregressive processes and polynomial regression
  • On residual empirical processes of stochastic regression models with applications to time series
  • Some remarks on regression with autoregressive errors and their residual processes
  • The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes
  • Empirical processes for infinite variance autoregressive models


Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Inference from stochastic processes and prediction (62M20)



Cited In (1)

  • Slow convergence of the number of near-maxima for Burr XII distributions





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