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Empirical process of residuals for regression models with long memory errors

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  • Lorek, Paweł
  • Kulik, Rafał

Abstract

We consider the residual empirical process in random design regression with long memory. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for the empirical process based on (unobserved) errors.

Suggested Citation

  • Lorek, Paweł & Kulik, Rafał, 2014. "Empirical process of residuals for regression models with long memory errors," Statistics & Probability Letters, Elsevier, vol. 86(C), pages 7-16.
    • Handle: RePEc:eee:stapro:v:86:y:2014:i:c:p:7-16
    DOI: 10.1016/j.spl.2013.11.018
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    References listed on IDEAS

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    1. Giraitis, Liudas & Koul, Hira L. & Surgailis, Donatas, 1996. "Asymptotic normality of regression estimators with long memory errors," Statistics & Probability Letters, Elsevier, vol. 29(4), pages 317-335, September.
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