Weighted Empirical Processes in Dynamic Nonlinear Models

Download or read book Weighted Empirical Processes in Dynamic Nonlinear Models written by Hira L. Koul and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 444 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a unified approach for obtaining the limiting distributions of minimum distance. It discusses classes of goodness-of-t tests for fitting an error distribution in some of these models and/or fitting a regression-autoregressive function without assuming the knowledge of the error distribution. The main tool is the asymptotic equi-continuity of certain basic weighted residual empirical processes in the uniform and L2 metrics.