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

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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書目詳細資料
Main Authors:	Bai, Zhidong, Pan, Guangming, Yin, Yanqing
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2020
主題:	Science::Mathematics CLT Dependent Random Variables
在線閱讀:	https://hdl.handle.net/10356/142678
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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