Weak convergence of the sequential empirical processes of residuals in ARMA models
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References listed on IDEAS
- J. Kreiss, 1991. "Estimation of the distribution function of noise in stationary processes," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 38(1), pages 285-297, December.
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- Òscar Jordà & Alan M. Taylor, 2011. "Performance Evaluation of Zero Net-Investment Strategies," NBER Working Papers 17150, National Bureau of Economic Research, Inc.
More about this item
KeywordsTime series models; residual analysis; sequential empirical process; weak convergence; Kiefer process; change-point problem;
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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