A limit process for a sequence of partial sums of residuals of a simple regression on order statistics with Markovmodulated noise
Słowa kluczowe:
Simple regression model, order statistics, Markov-modulated noise, regression residuals, empirical bridgeAbstrakt
We consider a simple regression model where a regressor is composed of order statistics, and a noise is Markov-modulated. We introduce an empirical bridge of regression residuals and prove its weak convergence to a centered Gaussian process. In the proof we use convergence properties of order statistics.
