|
Probability theory and mathematical statistics
Asymptotics of sums of regression residuals under multiple ordering of regressors
M. G. Chebuninab, A. P. Kovalevskiicb a Karlsruhe Institute of Technology, Institute of Stochastics, Karlsruhe, 76131, Germany
b Novosibirsk State University, 1, Pirogova str., Novosibirsk, 630090, Russia
c Novosibirsk State Technical University, 20, K. Marksa ave., Novosibirsk, 630073, Russia
Abstract:
We prove theorems about the Gaussian asymptotics of an empirical bridge built from residuals of a linear model under multiple regressor orderings. We study the testing of the hypothesis of a linear model for the components of a random vector: one of the components is a linear combination of the others up to an error that does not depend on the other components of the random vector. The independent copies of the random vector are sequentially ordered in ascending order of several of its components. The result is a sequence of vectors of higher dimension, consisting of induced order statistics (concomitants) corresponding to different orderings. For this sequence of vectors, without the assumption of a linear model for the components, we prove a lemma of weak convergence of the distributions of an appropriately centered and normalized process to a centered Gaussian process with almost surely continuous trajectories. Assuming a linear relationship of the components, standard least squares estimates are used to compute regression residuals, that is, the differences between response values and the predicted ones by the linear model. We prove a theorem of weak convergence of the process of sums of of regression residuals under the necessary normalization to a centered Gaussian process.
Keywords:
Concomitants, copula, weak convergence, regression residuals.
Received June 14, 2021, published December 2, 2021
Citation:
M. G. Chebunin, A. P. Kovalevskii, “Asymptotics of sums of regression residuals under multiple ordering of regressors”, Sib. Èlektron. Mat. Izv., 18:2 (2021), 1482–1492
Linking options:
https://www.mathnet.ru/eng/semr1455 https://www.mathnet.ru/eng/semr/v18/i2/p1482
|
|