On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root

DOI10.1016/0167-7152(95)00095-XzbMath0847.62077OpenAlexW2049762140MaRDI QIDQ1916215

Chul Gyu Park, Dong Wan Shin

Publication date: 8 October 1996

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(95)00095-x

zbMATH Keywords

Brownian motionunit rootlimiting distributionARMA processautoregressive moving average modelnonstationary processresidual autocorrelationspartial sum process of residuals

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

Cites Work

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• The Multivariate Portmanteau Statistic
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• DISTRIBUTION OF RESIDUAL AUTOCORRELATIONS IN NONSTATIONARY AUTOREGRESSIVE PROCESSES
• ON THE PARTIAL SUMS OF RESIDUALS IN AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

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