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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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2020
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| 在線閱讀: | https://hdl.handle.net/10356/142678 |
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