Empirical process of residuals for regression models with long memory errors

被引：1

作者：

Lorek, Pawel ^{[1
]}

Kulik, Rafal ^{[2
]}

机构：

[1] Univ Wroclaw, Math Inst, PL-50384 Wroclaw, Poland

[2] Univ Ottawa, Dept Math & Stat, Ottawa, ON K1N 6N5, Canada

来源：

STATISTICS & PROBABILITY LETTERS | 2014年 / 86卷

关键词：

Long memory; Empirical process of residuals; Regression analysis; WEAK-CONVERGENCE; ASYMPTOTIC-EXPANSION; LINEAR-REGRESSION; M-ESTIMATORS; AUTOREGRESSION;

D O I：

10.1016/j.spl.2013.11.018

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the residual empirical process in random design regression with long memory. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for the empirical process based on (unobserved) errors. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：7 / 16

页数：10

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