Weak convergence of the sequential empirical processes of residuals in TAR models

DOI10.1007/S11425-013-4729-3MaRDI QIDQ476641zbMATH OpenOpenAlexFDO

Authors Dong Li

Publication date 2 December 2014

Published in Science China. Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11425-013-4729-3

zbMATH Keywords

weak convergencesequential empirical processthreshold autoregressive modelKiefer process

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

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Cites work

• scientific article; zbMATH DE number 3665899 (Why is no real title available?)
• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
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• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Estimation of the distribution function of noise in stationary processes
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Model diagnosis for SETAR time series
• On maximum likelihood estimators for a threshold autoregression
• On the least squares estimation of multiple-regime threshold autoregressive models
• Residual empirical processes for long and short memory time series
• Weak convergence of the residual empirical process in explosive autoregression
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models

Cited in

(2)

• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Sequential empirical process in autoregressive models with measurement errors

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