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See detailOn Partial-Sum Processes of ARMAX Residuals
Holcblat, Benjamin UL; Gronneberg, Steffen

Scientific Conference (2017, December)

General and versatile results are established regarding the limit behavior of the partial-sum process of ARMAX residuals. Illustrations include ARMA with seasonal dummies, misspecified ARMAX models with ... [more ▼]

General and versatile results are established 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. [less ▲]

Detailed reference viewed: 38 (5 UL)
Peer Reviewed
See detailLimit theorems for residuals from VARMAX models with potentially serially correlated errors
Gronneberg, Steffen; Holcblat, Benjamin UL

Scientific Conference (2016)

Detailed reference viewed: 57 (5 UL)