Effects of design and error on normal convergence rates in regression problems

DOI10.1007/BF01193941MaRDI QIDQ2640286zbMATH OpenOpenAlexFDO

Authors Peter Hall

Publication date 1990

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01193941

zbMATH Keywords

central limit theoremconvergence rates to normalityregression estimatorssymmetric error distributions

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Linear regression; mixed models (62J05)

Review text

This paper describes the part played by experimental error along with the design, which are the two sources of variation in a linear regression model, in determining the convergence rates to normality for the regression estimators. It is shown that if the convergence rate for errors in the central limit theorem is of the order of \(n^{-\alpha}\), \(0<\alpha <1/2\), n being the sample size, then this rate of \(n^{- \alpha}\) is maintained for the regression estimators if the distribution generating design has moments of the \((2\alpha +2)th\) order. The author also considers the following situations: (i) when the design variables are bounded and (ii) when the design variables are bounded and the error distributions symmetric. ``Characterizations of convergence rates are also developed.

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• On the convergence of convolutions of distributions with regularly varying tails
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