Hölder convergence of autoregression residuals partial sum processes

DOI10.1007/S10986-008-9019-3MaRDI QIDQ736138zbMATH OpenOpenAlexFDO

Authors Alfredas Račkauskas, Irma Rastenė

Publication date 27 October 2009

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10986-008-9019-3

zbMATH Keywords

\(AR(1)\) modelnon-stationary processpolygonal line processresiduals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) General theory of stochastic processes (60G07)

Cites work

• Change in autoregressive processes
• High Moment Partial Sum Processes of Residuals in ARMA Models and their Applications
• High moment partial sum processes of residuals in GARCH models and their applications
• Hölderian invariance principle for triangular arrays of random variables
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• Necessary and sufficient condition for the functional central limit theorem in Hölder spaces
• On the Cusum test for parameter changes in garch(1,1) Models
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• On the residuals of autoregressive processes and polynomial regression
• Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times
• Sequential Procedures for Detecting Parameter Changes in a Time-Series Model
• Testing and estimating change-points in time series
• Testing for Structural Change in Dynamic Models
• The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes
• The effect of serial correlation on tests for parameter change at unknown time
• The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes

Cited in

(1)

• Hölderian properties of partial sums of regression residuals

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