A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test
We establish a joint central limit theorem for sums of squares and the fourth powers of residuals in a high-dimensional regression model. We then apply this CLT to detect the existence of heteroscedasticity for linear regression models without assuming randomness of covariates when the sample size n...
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sg-ntu-dr.10356-1426782020-06-26T07:48:45Z A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test Bai, Zhidong Pan, Guangming Yin, Yanqing School of Physical and Mathematical Sciences Science::Mathematics CLT Dependent Random Variables We establish a joint central limit theorem for sums of squares and the fourth powers of residuals in a high-dimensional regression model. We then apply this CLT to detect the existence of heteroscedasticity for linear regression models without assuming randomness of covariates when the sample size n tends to infinity and the number of covariates p may be fixed or tend to infinity. MOE (Min. of Education, S’pore) 2020-06-26T07:48:45Z 2020-06-26T07:48:45Z 2017 Journal Article Bai, Z., Pan, G., & Yin, Y. (2018). A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test. TEST, 27(4), 896-920. doi:10.1007/s11749-017-0575-x 1133-0686 https://hdl.handle.net/10356/142678 10.1007/s11749-017-0575-x 2-s2.0-85038820493 4 27 896 920 en TEST © 2017 Sociedad de Estadística e Investigación Operativa. All rights reserved. |
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| language |
English |
| topic |
Science::Mathematics CLT Dependent Random Variables |
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Science::Mathematics CLT Dependent Random Variables Bai, Zhidong Pan, Guangming Yin, Yanqing A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| description |
We establish a joint central limit theorem for sums of squares and the fourth powers of residuals in a high-dimensional regression model. We then apply this CLT to detect the existence of heteroscedasticity for linear regression models without assuming randomness of covariates when the sample size n tends to infinity and the number of covariates p may be fixed or tend to infinity. |
| author2 |
School of Physical and Mathematical Sciences |
| author_facet |
School of Physical and Mathematical Sciences Bai, Zhidong Pan, Guangming Yin, Yanqing |
| format |
Article |
| author |
Bai, Zhidong Pan, Guangming Yin, Yanqing |
| author_sort |
Bai, Zhidong |
| title |
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| title_short |
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| title_full |
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| title_fullStr |
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| title_full_unstemmed |
A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| title_sort |
central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test |
| publishDate |
2020 |
| url |
https://hdl.handle.net/10356/142678 |
| _version_ |
1681058438956711936 |