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G-2010-23

Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals

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In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARMA processes is investigated. The results generalize previous results of Bai 1994. Empirical processes based on squared residuals and other functions of the residuals are also discussed. It is shown that these processes can be used to develop distribution free tests of independence.

, 32 pages

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R. Kulik (ed.), Asymptotic Laws and Methods in Stochastics, Fields Institute Communications Series, 76, Springer, 239–282, 2015 référence BibTeX