ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS

DOI10.1111/j.1467-9892.1993.tb00142.xzbMath0768.62073OpenAlexW1991658609MaRDI QIDQ5285831

Jushan Bai

Publication date: 29 June 1993

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00142.x

zbMATH Keywords

martingale differencesgoodness-of-fitARMA processchange-point problemsdensity estimationresidual analysisstandard Brownian motionmoment restrictionstime series modelsroot-\(n\) consistentinvertible autoregressive moving-average modelslimiting process of partial sums of residuals

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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• On the residuals of autoregressive processes and polynomial regression
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Limit processes for sequences of partial sums of regression residuals
• Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times
• Dependent central limit theorems and invariance principles
• The residual process for non-linear regression
• Some remarks on regression with autoregressive errors and their residual processes
• On Estimation of a Probability Density Function and Mode

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