• A limit process for a sequence of partial sums of residuals of a simple regression on order statistics with Markovmodulated noise

A limit process for a sequence of partial sums of residuals of a simple regression on order statistics with Markovmodulated noise

Artyom Kovalevskii
Google Scholar Artyom Kovalevskii
Evgeny Shatalin
Google Scholar Evgeny Shatalin
Publikacja:

Abstrakt

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.

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