Functional limit theorems in Hölder space for residuals of nearly nonstationary AR(1) process

• Autorzy: Markevičiūtė J.

Identyfikatory

DOI

10.19195/0208-4147.37.1.7

• Języki publikacji: EN

Abstrakty

EN

We investigate the polygonal line process built on the residuals of the first order nearly nonstationary autoregressive process.We prove functional limit theorems in Hölder space in two cases: the autoregressive coefficient ϕ_n is defined as e^γ/n, γ < 0 is a constant, and ϕ_n is defined as 1 – γ_n/n, γ_n → ∞, and γ_n/n tends to zero as n → ∞. Also we discuss some applications of these functional limit theorems in epidemic change detection.

Słowa kluczowe

EN

nearly nonstationary process; residuals; Hölderian functional limit theorems; epidemic change

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2017
• Tom: Vol. 37, Fasc. 1
• Strony: 163--183
• Opis fizyczny: Bibliogr. 25 poz., tab.

Twórcy

autor

Markevičiūtė J.

• Faculty of Mathematics and Informatics, Vilnius University, Naugarduko str. 24, LT-03225 Vilnius, Lithuania

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).