The empirical process of autoregressive residuals
نویسنده
چکیده
The asymptotic theory of the residual empirical process of autoregressions with an intercept is developed. In contrast to situations without intercept the asymptotic distribution does not depend on the location of the characteristic roots. This is important in applications, as the question of the distribution of the innovations then can be addressed without having to locate the characteristic roots. As a second contribution it is shown how the distribution of residual empirical moments are easily derived from the distribution of the residual empirical process.
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