The University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
SEMINAR
The empirical process of autoregressive residuals
Prof Bent Nielsen
Wednesday, 4th October 2006, 2pm
The Whittaker Room (211)
Abstract:
The empirical process of residuals from general autoregressions is
investigated. If an intercept is included in the regression, the empirical
process is asymptotically Gaussian and free of nuisance parameters. This is
in contrast to the known result that in the unit root case without
intercept the empirical process is asymptotically non-Gaussian. The result
is used to establish asymptotic theory for the Kolmogorov-Smirnov test,
Probability-Probability plots, Quantile-Quantile plots, as well as the
cumulant based tests for normality referred.
Following the talk, tea and biscuits will be available in Room 304
ALL WELCOME
********************************************************
Ingrid Harper
University of Liverpool
Department of Mathematical Sciences
Division of Statistics and Probability
Mathematical Sciences Building
Peach Street
Liverpool L69 7ZL
Tel: 0151 794 4751
Fax: 0151 794 4754
********************************************************
|