Weak Convergence of the Residual Empirical Process in Explosive Autoregression
Koul, Hira L. ; Levental, Shlomo
Ann. Statist., Tome 17 (1989) no. 1, p. 1784-1794 / Harvested from Project Euclid
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This paper proves the weak convergence of the residual empirical process in an explosive autoregression model to the Brownian bridge. As an application the Kolmogorov-Smirnov goodness-of-fit test for testing that the errors have a specified distribution is shown to be asymptotically distribution-free.
Publié le : 1989-12-14
Classification:  Brownian bridge,  goodness-of-fit test,  asymptotically distribution-free,  exponential inequality,  60F17,  62M10 
@article{1176347395,
     author = {Koul, Hira L. and Levental, Shlomo},
     title = {Weak Convergence of the Residual Empirical Process in Explosive Autoregression},
     journal = {Ann. Statist.},
     volume = {17},
     number = {1},
     year = {1989},
     pages = { 1784-1794},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176347395}
}

Koul, Hira L.; Levental, Shlomo. Weak Convergence of the Residual Empirical Process in Explosive Autoregression. Ann. Statist., Tome 17 (1989) no. 1, pp.  1784-1794. http://gdmltest.u-ga.fr/item/1176347395/