A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test

• Main Authors: Bai, Zhidong, Pan, Guangming, Yin, Yanqing
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2020
• Subjects: Science::Mathematics; CLT; Dependent Random Variables
• Online Access: https://hdl.handle.net/10356/142678
• Institution: Nanyang Technological University

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...