Empirical process of long-range dependent sequences when parameters are estimated
classification
🧮 math.ST
stat.TH
keywords
dependentempiricalcomparedestimatedlong-rangeparametersprocessessequences
read the original abstract
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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.