On the quantile process based on the autoregressive residuals.

DOI10.1016/S0378-3758(97)00070-0zbMath1066.62538OpenAlexW2090707479MaRDI QIDQ1299375

Sangyeol Lee

Publication date: 1998

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(97)00070-0

zbMATH Keywords

Empirical processGoodness-of-fit testResidual quantile processStandard Brownian bridgeStationary AR(p) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Asymptotic properties of parametric tests (62F05)

Related Items (2)

Forecasting ARMA models: a comparative study of information criteria focusing on MDIC ⋮ An Improved Divergence Information Criterion for the Determination of the Order of an AR Process

Cites Work

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• Strong approximations of the quantile process
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Testing normality in autoregressive models
• A Note on Quantiles in Large Samples
• On Bahadur's Representation of Sample Quantiles
• Convergence of stochastic processes

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