The Limiting Distribution of the Residual Processes in Nonstationary Autoregressive Processes

DOI10.1111/1467-9892.00119zbMath0921.62115OpenAlexW2072302529MaRDI QIDQ4255276

Dong Wan Shin

Publication date: 10 August 1999

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00119

zbMATH Keywords

time seriesresidualsnonstationary processautoregression model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

Related Items (2)

Hölder convergence of autoregression residuals partial sum processes ⋮ On residual empirical processes of stochastic regression models with applications to time series

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