DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES

DOI10.1111/J.1467-9892.1996.TB00267.XMaRDI QIDQ4870533zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Jong Hyup Lee

Publication date 20 March 1996

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1996.tb00267.x

zbMATH Keywords

limiting distributionsunit circleportmanteau testresidual autocorrelationsnonstationary autoregressive processesresidual autocovariancesautoregressive characteristic rootsCanadian lynx data set

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Recommendations

• The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• The empirical process of autoregressive residuals
• TESTING FOR CYCLICAL NON‐STATIONARITY IN AUTOREGRESSIVE PROCESSES

Cites work

• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
• Distribution of residual autocorrelations in multivariate autoregressive index models
• On the asymptotic standard errors of residual autocorrelations in nonlinear time series modelling
• The Multivariate Portmanteau Statistic

Cited in

(7)

• Diagnostic test for unstable autoregressive models
• Testing for residual correlation of any order in the autoregressive process
• Distribution of residual autocorrelations for multiplicative seasonal ARMA models with uncorrelated but nonindependent error terms
• On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root
• The empirical process of autoregressive residuals
• Distribution asymptotique des autocorrélations d'un processus saisonnier non stationnaire
• scientific article; zbMATH DE number 5713719 (Why is no real title available?)

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