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December, 1989 Weak Convergence of the Residual Empirical Process in Explosive Autoregression
Hira L. Koul, Shlomo Levental
Ann. Statist. 17(4): 1784-1794 (December, 1989). DOI: 10.1214/aos/1176347395

Abstract

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.

Citation

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Hira L. Koul. Shlomo Levental. "Weak Convergence of the Residual Empirical Process in Explosive Autoregression." Ann. Statist. 17 (4) 1784 - 1794, December, 1989. https://doi.org/10.1214/aos/1176347395

Information

Published: December, 1989
First available in Project Euclid: 12 April 2007

zbMATH: 0695.60042
MathSciNet: MR1026313
Digital Object Identifier: 10.1214/aos/1176347395

Subjects:
Primary: 60F17
Secondary: 62M10

Rights: Copyright © 1989 Institute of Mathematical Statistics

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Vol.17 • No. 4 • December, 1989
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