Weak convergence of the residual empirical process in explosive autoregression
From MaRDI portal
Publication:910097
DOI10.1214/aos/1176347395zbMath0695.60042OpenAlexW2006752846MaRDI QIDQ910097
Publication date: 1989
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176347395
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Functional limit theorems; invariance principles (60F17)
Related Items (19)
On the Bickel-Rosenblatt test for first-order autoregressive models ⋮ Hill's estimator for the tail index of an ARMA model ⋮ The empirical process of autoregressive residuals ⋮ An efficient estimator for the expectation of a bounded function under the residual distribution of an autoregressive process ⋮ Asymptotic distributions of some robust scale estimators in explosive AR(1) model ⋮ Asymptotic normality of residual density estimator in stationary and explosive autoregressive models ⋮ Estimating linear functionals of the error distribution in nonparametric regression ⋮ Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models. ⋮ Weak convergence of the sequential empirical processes of residuals in TAR models ⋮ Smooth Residual Bootstrap for Empirical Processes of Non‐parametric Regression Residuals ⋮ Weak convergence of sequences of first passage processes and applications ⋮ A weak convergence result useful in robust autoregression ⋮ On partial-sum processes of ARMAX residuals ⋮ Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models ⋮ On residual empirical processes of stochastic regression models with applications to time series ⋮ Asymptotics of the \(L_p\)-norms of density estimators in the first-order autoregressive models. ⋮ A note on the Bickel\,-\,Rosenblatt test in autoregressive time series ⋮ Asymptotics of regressions with stationary and nonstationary residuals. ⋮ Nonparametric prediction intervals for explosive ar(1)-processes
This page was built for publication: Weak convergence of the residual empirical process in explosive autoregression
