Simultaneous inference and trend specification testing in ARMA model with trend via innovation distribution function

The innovation distribution function in the ARMA model with trend is estimated by the kernel distribution estimator (KDE). The KDE is shown to converge weakly to a Gaussian process with certain covariance structure, yielding a simultaneous confidence band (SCB) for the innovation distribution functi...

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Bibliographic Details
Published in:	Statistical papers (Berlin, Germany) Vol. 66; no. 5; p. 120
Main Author:	Zhong, Chen
Format:	Journal Article
Language:	English
Published:	Berlin/Heidelberg Springer Berlin Heidelberg 01.08.2025 Springer Nature B.V
Subjects:	Air temperature Asymptotic methods Asymptotic properties Distribution functions Economic Theory/Quantitative Economics/Mathematical Methods Economics Efficiency Finance Gaussian process Goodness of fit Innovations Insurance Management Mathematics and Statistics Operations Research/Decision Theory Probability Theory and Stochastic Processes Regular Article Specifications Statistical inference Statistical methods Statistical tests Statistics Statistics for Business Time series 62G05 62M10 Gaussian process Goodness-of-fit test Kernel distribution estimator Simultaneous confidence band B-spline 62F03
ISSN:	0932-5026, 1613-9798
Online Access:	Get full text
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