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

DOI10.1016/j.spa.2011.07.012zbMath1274.62442MaRDI QIDQ645604

Miklós Csörgő, 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 theorem; infinite variance; signal-to-noise ratio; domain of attraction of the normal law; slowly varying function at infinity; simple linear regression; asymptotic confidence interval; Cholesky square root of a matrix; direct product of two measurable spaces; generalized domain of attraction of the \(d\)-variate normal law; norm approximation in probability; standard/bivariate Wiener process; studentized/self-normalized least squares estimator/process; sup; symmetric positive definite square root of a matrix; uniform Euclidean norm approximation in probability

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

62J05: Linear regression; mixed models

60F17: Functional limit theorems; invariance principles

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