High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications

DOI10.1111/j.1467-9892.2006.00499.xzbMath1164.62059MaRDI QIDQ5430492

Hao Yu

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00499.x

zbMATH Keywords

CUSUM; kernel density estimation; change-point detection; Jarque-Bera test; sample skewness; sample curtosis

Mathematics Subject Classification ID

62G07: Density estimation

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

Related Items

Mean shift testing in correlated data, Estimating the mean and its effects on Neyman smooth tests of normality for ARMA models, Hölder convergence of autoregression residuals partial sum processes, Partial sums of lagged cross-products of AR residuals and a test for white noise, Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown, Parameter change tests for ARMA-GARCH models, Empirical likelihood for change point detection in autoregressive models, On partial-sum processes of ARMAX residuals, Reaction times of monitoring schemes for ARMA time series, Structural breaks in time series, ON-LINE MONITORING OF POLLUTION CONCENTRATIONS WITH AUTOREGRESSIVE MOVING AVERAGE TIME SERIES

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