Extreme residuals in regression model. Minimax approach

DOI10.15559/15-VMSTA40CNFMaRDI QIDQ340788zbMATH OpenFDO

Authors I. K. Matsak, Sergiy Polotskiy, O. V. Ivanov

Publication date 15 November 2016

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.01885

zbMATH Keywords

linear regressionminimax estimatorlimit theoremsextreme residuals

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Extreme value theory; extremal stochastic processes (60G70) Central limit and other weak theorems (60F05)

Abstract: We obtain limit theorems for extreme residuals in linear regression model in the case of minimax estimation of parameters.

Cites work

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• Extremes and related properties of random sequences and processes
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• Sur la distribution limite du terme maximum d'une série aléatoire

Cited in

(1)

• Minimax estimators of parameters of a regression model

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