Empirical processes for infinite variance autoregressive models
From MaRDI portal
Publication:413784
DOI10.1016/j.jmva.2012.01.018zbMath1249.62008OpenAlexW3121848610MaRDI QIDQ413784
Kilani Ghoudi, Chafik Bouhaddioui
Publication date: 7 May 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2012.01.018
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05)
Related Items
Cites Work
- Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- More limit theory for the sample correlation function of moving averages
- Limit theory for the sample covariance and correlation functions of moving averages
- M-estimation for autoregression with infinite variance
- Time series: theory and methods.
- Gauss-Newton and M-estimation for ARMA processes with infinite variance
- Tests for cointegration with infinite variance errors
- A note on the residual empirical process in autoregressive models
- Parameter estimation for ARMA models with infinite variance innovations
- Weak convergence of the sequential empirical processes of residuals in ARMA models
- Trimmed portmanteau test for linear processes with infinite variance
- Tests of independence and randomness based on the empirical copula process
- WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
- DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
- Portmanteau tests for ARMA models with infinite variance
- Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
- Simple consistent estimators of stable distribution parameters
- RATE OF CONVERGENCE OF CENTRED ESTIMATES OF AUTOREGRESSIVE PARAMETERS FOR INFINITE VARIANCE AUTOREGRESSIONS
- On a measure of lack of fit in time series models
- A Powerful Portmanteau Test of Lack of Fit for Time Series
- TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
- Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals
- Self-Weighted Least Absolute Deviation Estimation for Infinite Variance Autoregressive Models
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- A nonparametric test of serial independence for time series and residuals
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
