Misspecification tests based on quantile residuals
β Scribed by Leena Kalliovirta
- Book ID
- 115088911
- Publisher
- John Wiley and Sons
- Year
- 2012
- Tongue
- English
- Weight
- 884 KB
- Volume
- 15
- Category
- Article
- ISSN
- 1368-4221
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π SIMILAR VOLUMES
Let {Xt} be the stationary AR(p) process satisfying the difference equation Xt = ~lXt-i +... + ~pXt-p + ~t, where {~t} is a sequence of lid random variables with mean zero and finite variance. Motivated by a goodness of fit test on the true errors {~t}, we are led to study the asymptotic behavior of
The extreme regression quantiles, as analogues of the extreme-order statistics in the linear regression model, were ΓΏrst considered by Smith (1994, Biometrika 81, 173-183) and studied by Portnoy and JureΓ ckovΓ a (1999, Extremes, to appear). They may have various important applications, parallel to