Empirical process of long-range dependent sequences when parameters are estimated
统计理论
2007-06-13 v1 统计理论
摘要
In this paper we study the asymptotic behaviour of empirical processes when parameters are estimated, assuming that the underlying sequence of random variables is long-range dependent. We show completely different phenomena compared to i.i.d. situation, as well as compared to ordinary empirical processes of long range dependent sequences. Applications include Kolmogorov-Smirnov and Cramer-Smirnov-von Mises goodness-of-fit statistics.
引用
@article{arxiv.math/0702089,
title = {Empirical process of long-range dependent sequences when parameters are estimated},
author = {Rafal Kulik},
journal= {arXiv preprint arXiv:math/0702089},
year = {2007}
}
备注
12 pages