Invariance principles and almost sure central limit theorem for the error variance estimator in linear models

被引：0

作者：

Miao, Yu ^{[1
]}

Geng, Wei-Qiang ^{[1
]}

Nadarajah, Saralees ^{[2
]}

机构：

[1] Henan Normal Univ, Coll Math & Informat Sci, Xinxiang, Peoples R China

[2] Univ Manchester, Sch Math, Manchester, Lancs, England

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2016年 / 45卷 / 11期

关键词：

Invariance principles; Almost sure central limit theorem; error variance estimator; linear models; SUMS;

D O I：

10.1080/03610926.2014.895841

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, we establish the invariance principles for the error variance estimator in linear models, which weaken the conditions for the errors in Chen (1980) from finite fourth moment to infinite fourth moment. Furthermore, the almost sure central limit theorem of the error variance estimator is also obtained under the assumption for the errors of infinite fourth moment.

引用

页码：3223 / 3235

页数：13

共 16 条

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