Uniform integrability of the OLS estimators, and the convergence of their moments

DOI10.1007/S11749-016-0498-YzbMATH Open1369.62150arXiv1511.02962OpenAlexW3100565843MaRDI QIDQ2397992FDOQ2397992

G. Afendras, Marianthi Markatou

Publication date: 14 August 2017

Published in: Test (Search for Journal in Brave)

Abstract: The problem of convergence of moments of a sequence of random variables to the moments of its asymptotic distribution is important in many applications. These include the determination of the optimal training sample size in the cross validation estimation of the generalization error of computer algorithms, and in the construction of graphical methods for studying dependence patterns between two biomarkers. In this paper we prove the uniform integrability of the ordinary least squares estimators of a linear regression model, under suitable assumptions on the design matrix and the moments of the errors. Further, we prove the convergence of the moments of the estimators to the corresponding moments of their asymptotic distribution, and study the rate of the moment convergence. The canonical central limit theorem corresponds to the simplest linear regression model. We investigate the rate of the moment convergence in canonical central limit theorem proving a sharp improvement of von Bahr's (1965) theorem.

Full work available at URL: https://arxiv.org/abs/1511.02962

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zbMATH Keywords

rate of convergencelinear regression modelmoment convergenceuniform integrability

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20) Inequalities; stochastic orderings (60E15) Central limit and other weak theorems (60F05) Factorials, binomial coefficients, combinatorial functions (05A10)

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Cited In (8)

• On the rates of convergence for moments convergence in regression models
• Moment convergence in regularized estimation under multiple and mixed-rates asymptotics
• Uniform integrability of the OLS estimators, and the convergence of their moments
• An integral inequality on \(C([0,1])\) and dispersion of OLS under near-integration
• Moment convergence of regularized least-squares estimator for linear regression model
• The Out-of-Source Error in Multi-Source Cross Validation-Type Procedures
• On the limiting distribution of sample central moments
• Optimality of training/test size and resampling effectiveness in cross-validation

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