This paper studies the weak convergence of the sequential empirical process K n of the residuals in the threshold autoregressive(TAR)model of order p.Under some mild conditions,it is shown that K n converges weakly to...This paper studies the weak convergence of the sequential empirical process K n of the residuals in the threshold autoregressive(TAR)model of order p.Under some mild conditions,it is shown that K n converges weakly to a Kiefer process plus a random variable which converges to a multivariate normal.This differs from that given by Bai(1994)for a stationary autoregressive and moving average(ARMA)model.展开更多
文摘This paper studies the weak convergence of the sequential empirical process K n of the residuals in the threshold autoregressive(TAR)model of order p.Under some mild conditions,it is shown that K n converges weakly to a Kiefer process plus a random variable which converges to a multivariate normal.This differs from that given by Bai(1994)for a stationary autoregressive and moving average(ARMA)model.
