Moderate deviation principle for the error variance estimator in linear models

Yu Miao, Weiqiang Geng, Nan Li and Qing Xiao

Communications in Statistics - Theory and Methods, 2014, vol. 43, issue 19, 4215-4222

Abstract: In this article, we consider the following linear model Yi=Xi'β+ξi,i=1,2,...,$$ Y_i=X_i^{^{\prime }}\beta +\xi _i,\ \ \ i=1,2,\ldots, $$ where β is a q-dimensional unknown parametric vector, and {ξi} is a sequence of i.i.d. trial errors with Eξ1=0$\mathbb {E}\xi _1=0$ and 0

Date: 2014
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DOI: 10.1080/03610926.2012.724505

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