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Empirical process of residuals for regression models with long memory errors |
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| Affiliation: | 1. Mathematical Institute, University of Wrocław, pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland;2. Department of Mathematics and Statistics, University of Ottawa, 585 King Edward Avenue, Ottawa, ON, Canada K1N 6N5;1. University of St.Gallen, Bodanstrasse 6, 9000 St.Gallen, Switzerland;2. London School of Economics, Houghton Street, London WC2A 2AE, UK |
| Abstract: | We consider the residual empirical process in random design regression with long memory. We establish its limiting behaviour, showing that its rates of convergence are different from the rates of convergence for the empirical process based on (unobserved) errors. |
| Keywords: | Long memory Empirical process of residuals Regression analysis |
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