Weak Convergence of the Sequential Empirical Processes of Residuals in ARMA Models
نویسندگان
چکیده
منابع مشابه
Weak Convergence of the Empirical Process of Residuals in Linear Models with Many Parameters
When fitting, by least squares, a linear model (with an intercept term) with p parameters to n data points, the asymptotic behavior of the residual empirical process is shown to be the same as in the single sample problem provided p3 log2 p /n → 0 for any error density having finite variance and a bounded first derivative. No further conditions are imposed on the sequence of design matrices. Th...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 1994
ISSN: 0090-5364
DOI: 10.1214/aos/1176325771