Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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The Asymptotic Variance of the Studentized Residual Autocorrelations for a Generalized Random Coefficient Autoregressive Processes

  • Park, Sang-Woo (Department of Statistics, Seoul National University) ;
  • Cho, Sin-Sup (Department of Statistics, Seoul National University) ;
  • Hwang, Sun Y. (Department of Statistics, Sookmyung Women's University)
  • Published : 1997.12.01
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Abstract

The asymptotic distribution of residual autocorrelation functions from a generalized p-order random coefficient autoregressive process (GRCA(p)) is derived. To this end, we first describe the GRCA(p) models and then consider the normalised residuals after fitting the model. This result can be applied to the residual analysis for the diagonostic purpose.

Keywords

References

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