No full text
Unpublished conference/Abstract (Scientific congresses, symposiums and conference proceedings)
On Partial-Sum Processes of ARMAX Residuals
Holcblat, Benjamin; Gronneberg, Steffen
2017Computational and Methodological Statistics 2017


Full Text
No document available.

Send to


Keywords :
ARMAX residuals
Abstract :
[en] 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.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Holcblat, Benjamin  ;  University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Luxembourg School of Finance (LSF)
Gronneberg, Steffen;  BI Norwegian Business School > Economics
External co-authors :
Language :
Title :
On Partial-Sum Processes of ARMAX Residuals
Publication date :
December 2017
Event name :
Computational and Methodological Statistics 2017
Event organizer :
ERCIM Working Group on Computational and Methodological Statistics (CMStatistics), Birkbeck University of London and King's College London
Event date :
16-18 December 2017
Audience :
Available on ORBilu :
since 01 March 2018


Number of views
54 (5 by Unilu)
Number of downloads
0 (0 by Unilu)


Similar publications

Contact ORBilu