On partial-sum processes of ARMAX residuals
dc.contributor.author | Grønneberg, Steffen | |
dc.contributor.author | Holcblat, Benjamin | |
dc.date.accessioned | 2019-10-07T12:01:47Z | |
dc.date.available | 2019-10-07T12:01:47Z | |
dc.date.created | 2019-03-12T11:09:54Z | |
dc.date.issued | 2018 | |
dc.identifier.citation | Published in Annals of statistics. | nb_NO |
dc.identifier.issn | 0090-5364 | |
dc.identifier.uri | http://hdl.handle.net/11250/2620662 | |
dc.description.abstract | We establish general and versatile results regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with autocorrelated errors, nonlinear ARMAX models, ARMA with a structural break, a wide range of ARMAX models with infinite-variance errors, weak GARCH models and the consistency of kernel estimation of the density of ARMAX errors. Our results identify the limit distributions, and provide a general algorithm to obtain pivot statistics for CUSUM tests. | nb_NO |
dc.language.iso | eng | nb_NO |
dc.title | On partial-sum processes of ARMAX residuals | nb_NO |
dc.type | Journal article | nb_NO |
dc.type | Peer reviewed | nb_NO |
dc.description.version | acceptedVersion | nb_NO |
dc.source.journal | Annals of Statistics | nb_NO |
dc.identifier.cristin | 1684039 | |
cristin.unitcode | 158,3,0,0 | |
cristin.unitname | Institutt for samfunnsøkonomi | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 |
Tilhørende fil(er)
Denne innførselen finnes i følgende samling(er)
-
Publikasjoner fra CRIStin - BI [1030]
-
Scientific articles [2189]