Strong consistency of the distribution estimator in the nonlinear autoregressive time series

Fuxia Cheng

Journal of Multivariate Analysis, 2015, vol. 142, issue C, 41-47

Abstract: This paper considers the uniform strong consistency of the error cumulative distribution function (CDF) estimator. Under appropriate assumptions, the classical Glivenko–Cantelli Theorem is obtained for the residual based empirical error CDF in the nonlinear autoregressive time series.

Keywords: Glivenko–Cantelli Theorem; CDF; Residuals; Stationary process; Nonlinear autoregressive model (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:142:y:2015:i:c:p:41-47

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DOI: 10.1016/j.jmva.2015.07.014

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