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A note on the distribution of residuals in the Sharpe diagonal model

✍ Scribed by Eli Sani; Jack Hayya


Book ID
119080464
Publisher
Elsevier Science
Year
1976
Tongue
English
Weight
740 KB
Volume
4
Category
Article
ISSN
0148-2963

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A note on the residual empirical process
✍ Sangyeol Lee πŸ“‚ Article πŸ“… 1997 πŸ› Elsevier Science 🌐 English βš– 242 KB

Suppose that {X,} is the stationary AR(p) process of the form: X, -/,t = fll(Xt.-i -la) + ... + [~t,(X,\_p -I~) + ~:,, where {~:,} is a sequence of i.i.d, random variables with mean zero and finite variance a 2. In this paper, we study the asymptotic behavior of the empirical process computed from t