Bai, Jushan
(1991):
*Weak convergence of the sequential empirical processes of residuals in ARMA models.*
Published in: Annals of Statistics
, Vol. 22,
(1994): pp. 2051-2061.

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## Abstract

This paper studies the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in ARMA(p,q) models when the errors are independent and identically distributed. It is shown that, under some mild conditions, $\hat{K}_n$ converges weakly to a Kiefer process. The weak convergence is discussed for both finite and infinite variance time series models. An application to a change-point problem is considered.

Item Type: | MPRA Paper |
---|---|

Original Title: | Weak convergence of the sequential empirical processes of residuals in ARMA models |

Language: | English |

Keywords: | Time series models, residual analysis, sequential empirical process, weak convergence, Kiefer process, change-point problem |

Subjects: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C14 - Semiparametric and Nonparametric Methods: General C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes |

Item ID: | 32915 |

Depositing User: | Jushan Bai |

Date Deposited: | 20 Aug 2011 16:50 |

Last Modified: | 27 Sep 2019 00:13 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/32915 |