Functional central limit theorems for self-normalized least squares processes in regression with possibly infinite variance data

DOI10.1016/J.SPA.2011.07.012zbMATH Open1274.62442OpenAlexW2042385457MaRDI QIDQ645604FDOQ645604

Miklós Csörgo, Yuliya V. Martsynyuk

Publication date: 10 November 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2011.07.012

zbMATH Keywords

functional central limit theoremsignal-to-noise ratioinfinite variancedomain of attraction of the normal lawslowly varying function at infinitysimple linear regressionasymptotic confidence intervalCholesky square root of a matrixdirect product of two measurable spacesgeneralized domain of attraction of the \(d\)-variate normal lawnorm approximation in probabilitystandard/bivariate Wiener processstudentized/self-normalized least squares estimator/processsupsymmetric positive definite square root of a matrixuniform Euclidean norm approximation in probability

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Linear regression; mixed models (62J05) Functional limit theorems; invariance principles (60F17)

Cites Work

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• Probability for Statisticians
• Consistency for least squares regression estimators with infinite variance data
• When is the Student \(t\)-statistic asymptotically standard normal?
• Donsker's theorem for self-normalized partial sums processes
• A Theorem on Products of Random Variables, With Application to Regression
• Functional asymptotic confidence intervals for the slope in linear error-in-variables models
• Central limit theorems in linear structural error-in-variables models with explanatory variables in the domain of attraction of the normal law
• Quadratic negligibility and the asymptotic normality of operator normed sums
• Invariance principles for adaptive self-normalized partial sums processes.
• On the Studentisation of random vectors
• Functional asymptotic confidence intervals for a common mean of independent random variables

Cited In (4)

• Invariance principles for a multivariate Student process in the generalized domain of attraction of the multivariate normal law
• Two-dimensional anisotropic random walks: fixed versus random column configurations for transport phenomena
• A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test
• A functional limit theorem for self-normalized linear processes with random coefficients and i.i.d. heavy-tailed innovations

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