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

• Zhidong Bai ^[1] ; Guangming Pan ^[2] ; Yanqing Yin ^[3]
  1. [1] Northeast Normal University

     Northeast Normal University

     China

     
  2. [2] Nanyang Technological University

     Nanyang Technological University

     Singapur

     
  3. [3] Jiangsu Normal University

     Jiangsu Normal University

     China

     

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• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 27, Nº. 4, 2018, págs. 896-920
• Idioma: inglés
• DOI: 10.1007/s11749-017-0575-x
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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 tends to infinity and the number of covariates p may be fixed or tend to infinity