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

DOI10.1007/s11425-013-4729-3zbMath1365.62171OpenAlexW2257621437MaRDI QIDQ476641

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)

Cites Work

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• On the least squares estimation of multiple-regime threshold autoregressive models
• Weak convergence of the residual empirical process in explosive autoregression
• Residual empirical processes for long and short memory time series
• Estimation of the distribution function of noise in stationary processes
• On maximum likelihood estimators for a threshold autoregression
• Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models
• Weak convergence of the sequential empirical processes of residuals in ARMA models
• Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Limiting properties of the least squares estimator of a continuous threshold autoregressive model
• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications

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