On partial-sum processes of ARMAX residuals
نویسندگان
چکیده
منابع مشابه
High Moment Partial Sum Processes of Residuals in Garch Models
In this paper we construct high moment partial sum processes based on residuals of a GARCH model when the mean is known to be 0. We consider partial sums of kth powers of residuals, CUSUM processes and self-normalized partial sum processes. The kth power partial sum process converges to a Brownian process plus a correction term, where the correction term depends on the kth moment μk of the inno...
متن کاملOn functional weak convergence for partial sum processes
For a strictly stationary sequence of regularly varying random variables we study functional weak convergence of partial sum processes in the space D[0, 1] with the Skorohod J1 topology. Under the strong mixing condition, we identify necessary and sufficient conditions for such convergence in terms of the corresponding extremal index. We also give conditions under which the regular variation pr...
متن کاملOptimal Calculation of Residuals for ARMAX Models with Application to Model Verification
Residual tests for sufficient model orders are based on the assumption that prediction errors are white when the model is correct. If an ARMAX system has zeros in the MA part which are close to the unit circle, then the standard predictor can have large transients. Even when the correct model is used there will be large correlations in the transient phase. In this case the standard residual tes...
متن کاملProperties of Residuals for Spatial Point Processes
For any point process in R that has a Papangelou conditional intensity λ, we define a random measure of ‘innovations’ which has mean zero. When the point process model parameters are estimated from data, there is an analogous random measure of ‘residuals’. We analyse properties of the innovations and residuals, including first and second moments, conditional independence, a martingale property,...
متن کاملResiduals based process capability indices for two-stage processes
The manufacturing operations often involve multistage processes where the process capability of each stage is affected by the process capability of its precedent processes. This property is known as the cascade property. The purpose of this paper is to estimate the process capability of the second stage of two-stage process while the cascade property impact is removed using residuals analysis. ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2019
ISSN: 0090-5364
DOI: 10.1214/18-aos1776