Empirical Processes of Residuals

István Berkes () and Lajos Horvath
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István Berkes: Hungarian Academy of Sciences, Rényi Institute of Mathematics

A chapter in Empirical Process Techniques for Dependent Data, 2002, pp 195-209 from Springer

Abstract: Abstract We review the asymptotic behaviour of the empirical processes of residuals (parameter estimated variables) of independent, identically distributed random variables, ARMA(p, q), ARCH(p) and GARCH(p, q) sequences.

Keywords: Asymptotic Normality; Empirical Process; Empirical Distribution Function; Strong Approximation; Brownian Bridge (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4612-0099-4_6

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DOI: 10.1007/978-1-4612-0099-4_6

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