Weak convergence of the sequential empirical processes of residuals in ARMA models

Jushan Bai

MPRA Paper from University Library of Munich, Germany

Abstract: This paper studies the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in ARMA(p,q) models when the errors are independent and identically distributed. It is shown that, under some mild conditions, $\hat{K}_n$ converges weakly to a Kiefer process. The weak convergence is discussed for both finite and infinite variance time series models. An application to a change-point problem is considered.

Keywords: Time series models; residual analysis; sequential empirical process; weak convergence; Kiefer process; change-point problem (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Date: 1991-08, Revised 1993-07-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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