کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1150276 | 957921 | 2006 | 13 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Sequential empirical process in autoregressive models with measurement errors
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper, we study the weak convergence of the sequential empirical process based on the residuals from autoregressive models with measurement errors. It is shown that the sequential empirical process converges weakly to the sum of a Gaussian process which is the limit of a sequential empirical process of certain p-dependent random variables and an additional term depending on the parameter estimators of the model. As an application, we discuss the change point problem in the distribution of the error process in the autoregressive model. We present the numerical result of a simulation study for an asymptotically distribution-free test.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 12, 1 December 2006, Pages 4204-4216
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 12, 1 December 2006, Pages 4204-4216
نویسندگان
Seongryong Na, Sangyeol Lee, Hyeonah Park,