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

• المؤلفون الرئيسيون: Bai, Zhidong, Pan, Guangming, Yin, Yanqing
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2020
• الموضوعات: Science::Mathematics; CLT; Dependent Random Variables
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/142678
• المؤسسة: 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...