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Gaussian approximation for residuals of stationary autoregressive process in Hölder norm
K. Imeçaoudene, D. Hamadouche Laboratory of Mathematics, Faculty of Sciences, University Mouloud Mammeri, Tizi-Ouzou, Algeria
Аннотация:
The paper treats the hölderian approximation for partial sums process of stationary autoregressive residuals (AR(p), $p \geq 1$). We consider the polygonal smoothed process of these partial sums and we prove the Hölder convergence of this sequence of processes to the Brownian motion for any order $\alpha<\frac{1}{2}$. A statistical application of this convergence to detect epidemic change and simulation results are also presented.
Ключевые слова:
Autoregressive model, Brownian motion, Hölder space, invariance principle, partial sums process, residuals.
Образец цитирования:
K. Imeçaoudene, D. Hamadouche, “Gaussian approximation for residuals of stationary autoregressive process in Hölder norm”, Theory Stoch. Process., 22(38):2 (2017), 19–33
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/thsp177 https://www.mathnet.ru/rus/thsp/v22/i2/p19
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