Weak convergence of the residual empirical process in explosive autoregression

DOI10.1214/aos/1176347395zbMath0695.60042MaRDI QIDQ910097

Hira L. Koul, Shlomo Levental

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

zbMATH Keywords

Brownian bridge; empirical process; martingale-differences; explosive autoregressive model

Mathematics Subject Classification ID

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

60F05: Central limit and other weak theorems

60F17: Functional limit theorems; invariance principles

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