On residual analysis for time series models

Jiří Anděl

Displaying similar documents to “On residual analysis for time series models”

On geometric ergodicity and prediction in nonnegative non-linear autoregressive processes

Petr Zvára (2004)

Kybernetika

Similarity:

A non-linear AR(1) process is investigated when the associated white noise is positive. A criterion is derived for the geometric ergodicity of the process. Some explicit formulas are derived for one and two steps ahead extrapolation. Influence of parameter estimation on extrapolation is studied.

A contribution to bootstrapping autoregressive processes

Zuzana Prášková (1995)

Kybernetika

Similarity:

Estimation of variances in a heteroscedastic RCA(1) model

Hana Janečková (2002)

Kybernetika

Similarity:

The paper concerns with a heteroscedastic random coefficient autoregressive model (RCA) of the form $X_{t} = b_{t} X_{t - 1} + Y_{t}$ . Two different procedures for estimating $σ_{t}^{2} = E Y_{t}^{2}, σ_{b}^{2} = E b_{t}^{2}$ or $σ_{B}^{2} = E {(b_{t} - E b_{t})}^{2}$ , respectively, are described under the special seasonal behaviour of $σ_{t}^{2}$ . For both types of estimators strong consistency and asymptotic normality are proved.