On the residuals of autoregressive processes and polynomial regression
โ Scribed by R.J. Kulperger
- Book ID
- 107950249
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 338 KB
- Volume
- 21
- Category
- Article
- ISSN
- 0304-4149
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๐ 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
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