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

Yu Miao, Wei-Qiang Geng and Saralees Nadarajah

Communications in Statistics - Theory and Methods, 2016, vol. 45, issue 11, 3223-3235

Abstract: 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.

Date: 2016
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DOI: 10.1080/03610926.2014.895841

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