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Теория вероятностей и математическая статистика
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
Аннотация:
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.
Ключевые слова:
Concomitants, copula, weak convergence, regression residuals.
Поступила 14 июня 2021 г., опубликована 2 декабря 2021 г.
Образец цитирования:
M. G. Chebunin, A. P. Kovalevskii, “Asymptotics of sums of regression residuals under multiple ordering of regressors”, Сиб. электрон. матем. изв., 18:2 (2021), 1482–1492
Образцы ссылок на эту страницу:
https://www.mathnet.ru/rus/semr1455 https://www.mathnet.ru/rus/semr/v18/i2/p1482
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