Sequential control of time series by functionals of kernal-weighted empirical processes under local alternatives

Metrika ◽  
2004 ◽  
Vol 60 (3) ◽  
pp. 229-249 ◽  
Author(s):  
Ansgar Steland
Keyword(s):  
Time Series ◽  
Empirical Processes ◽  
Local Alternatives ◽  
Sequential Control ◽  
Weighted Empirical Processes

scholarly journals Book Reviews

2016 ◽  
Vol 27 (3) ◽  
Author(s):  
Klaus Pötzelberger ◽  
Werner G. Müller ◽  
Hans Kellerer ◽  
Mushtaq Hussain ◽  
Michael Schimek ◽  
...  
Keyword(s):  
Time Series ◽  
Generalized Linear Models ◽  
Linear Models ◽  
Extreme Values ◽  
Multivariate Time Series ◽  
Empirical Processes ◽  
Lack Of Fit ◽  
Probability And Statistics ◽  
Lack Of Fit Tests

Weak Convergence and Empirical Processes (A.W. van der Vaart, J.A. Wellner)Quasi-Likelihood and its Application. A General Approach to Parameter Estimation(C.C. Heyde)Wahrscheinlichkeitsrechnung und Statistik in Beispielen und Aufgaben (V. Nollau,L. Partzsch, R. Storm, C. Lange)A First Course in Multivariate Statistics (B. Flury)Empirische Forschungsmethoden (W. Stier)Applying Generalized Linear Models (J.K. Lindsey)Analyse von Tabellen und kategorialen Daten (H.J. Andreß, J.A.Hagenaars, S. Kühnel)Elements of Multivariate Time Series Analysis (G.C. Reinsel)Nonparametric Smoothing and Lack-of-Fit Tests (J.D. Hart)Modelling Extremal Events for Insurance and Finance (P. Embrechts, C. Klüppelberg,T. Mikosch)Statistical Analysis of Extreme Values (R.D. Reiss, M. Thomas)Das Quotenverfahren (A. Quatember)Prophetentheorie (F. Harten, A. Meyerthole, N. Schmitz)Advances in Combinational Methods and Applications to Probability and Statistics.(N. Balakrishnan)

scholarly journals Residual empirical processes for long and short memory time series

2008 ◽  
Vol 36 (5) ◽  
pp. 2453-2470 ◽  
Author(s):  
Ngai Hang Chan ◽  
Shiqing Ling
Keyword(s):  
Time Series ◽  
Empirical Processes ◽  
Memory Time ◽  
Short Memory

On the Distribution of the Suprema of Weighted Empirical Processes

1987 ◽  
pp. 1-18
Author(s):  
Miklós Csörgö ◽  
Josef Steinebach ◽  
Lajos Horváth
Keyword(s):  
Empirical Processes ◽  
Weighted Empirical Processes

scholarly journals Correction: Residual empirical processes for long and short memory time series

2010 ◽  
Vol 38 (6) ◽  
pp. 3839-3839
Author(s):  
Ngai Hang Chan ◽  
Shiqing Ling
Keyword(s):  
Time Series ◽  
Empirical Processes ◽  
Memory Time ◽  
Short Memory

THE LOCAL ASYMPTOTIC POWER OF CERTAIN TESTS FOR FRACTIONAL INTEGRATION

1999 ◽  
Vol 15 (5) ◽  
pp. 704-709 ◽  
Author(s):  
Jonathan H. Wright
Keyword(s):  
Time Series ◽  
Sample Size ◽  
Fractional Integration ◽  
Empirical Work ◽  
Local Alternatives ◽  
Asymptotic Power ◽  
Rescaled Range ◽  
Partial Sum Process ◽  
Local Asymptotic Power ◽  
Range Test

It is possible to construct a test of the null of no fractional integration that has nontrivial asymptotic power against a sequence of alternatives specifying that the series is I(d) with d = O(T−1/2), where T is the sample size. In this paper, I show that tests for fractional integration that are based on the partial sum process of the time series have only trivial asymptotic power (i.e., equal to the size) against this sequence of local alternatives. These tests include the rescaled-range test. In this sense, despite its widespread use in empirical work, the rescaled-range test is a poor test for fractional integration.

scholarly journals ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS

2009 ◽  
Vol 26 (3) ◽  
pp. 744-773 ◽  
Author(s):  
J. Carlos Escanciano
Keyword(s):  
Time Series ◽  
Initial Conditions ◽  
Monte Carlo Study ◽  
Empirical Processes ◽  
Stock Index ◽  
Time Series Models ◽  
Power Performance ◽  
Distribution Free ◽  
Infinite Dimensional ◽  
Asymptotically Distribution Free

This article investigates model checks for a class of possibly nonlinear heteroskedastic time series models, including but not restricted to ARMA-GARCH models. We propose omnibus tests based on functionals of certain weighted standardized residual empirical processes. The new tests are asymptotically distribution-free, suitable when the conditioning set is infinite-dimensional, and consistent against a class of Pitman’s local alternatives converging at the parametric rate n−1/2, with n the sample size. A Monte Carlo study shows that the simulated level of the proposed tests is close to the asymptotic level already for moderate sample sizes and that tests have a satisfactory power performance. Finally, we illustrate our methodology with an application to the well-known S&P 500 daily stock index. The paper also contains an asymptotic uniform expansion for weighted residual empirical processes when initial conditions are considered, a result of independent interest.

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