Quetelet Seminar

When
21-01-2020 from 12:00 to 13:00
Where
Leslokaal 3.2, S9, Campus Sterre, Krijgslaan 281
Language
English
Organizer
Jan De Neve
Contact
Jan.DeNeve@ugent.be
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Quetelet Seminar: On Partial-Sum Processes of ARMAX Residuals by dr. Benjamin Holcblat (University of Luxembourg)

Abstract


We establish general and versatile results regarding the limit behavior of the partial-sum process of ARMAX residuals.  Illustrations include  ARMA with  seasonal dummies, misspecified ARMAX models with autocorrelated errors, nonlinear ARMAX models,  ARMA with a structural break, a wide range of ARMAX models with infinite-variance errors, weak GARCH models and the consistency of kernel estimation of the density of ARMAX errors. Our results identify the limit distributions, and provide a general algorithm to obtain pivot statistics  for CUSUM tests.

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