The analysis of marked and weighted empirical processes of estimated residuals

Publikation: Working paperForskning


  • rp19_06

    Forlagets udgivne version, 691 KB, PDF-dokument

  • Vanessa Berenguer-Rico, University of Oxford, Oxford, Storbritannien
  • Søren Johansen, Københavns Universitet, University of Copenhagen and CREATES, Danmark
  • Bent Nielsen, University of Oxford, Storbritannien
An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by applying least squares to the selected observations. In this case, the weights and marks represent powers of the regressors and the regression errors, respectively. The inclusion of marks is a non-trivial extention to previous theory and requires refined martingale arguments.
Antal sider29
StatusUdgivet - 7 maj 2019
SerietitelCREATES Research Papers


  • 1-step Huber-skip, Non-stationarity, Robust Statistics, Stationarity

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