Asymptotic distributions of prediction errors and related tests of fit for nonstationary processes

DOI10.1214/aos/1176350252zbMath0625.62084OpenAlexW2037143535MaRDI QIDQ579813

Ishwar V. Basawa

Publication date: 1987

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350252

zbMATH Keywords

nonstationary processessupercritical branching processesestimated prediction errorsexplosive autoregressive processesLimit distributions of prediction errorsnew tests of fit

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Non-Markovian processes: hypothesis testing (62M07)

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