A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test

DOI10.1007/S11749-017-0575-XzbMATH Open1420.62291arXiv1603.03830OpenAlexW3098971208MaRDI QIDQ90730FDOQ90730

Authors: Zhi-Dong Bai, Guangming Pan, Yanqing Yin, Guangming Pan, Yanqing Yin, Zhidong Bai 

Publication date: 23 December 2017

Published in: Test, TEST (Search for Journal in Brave)

Abstract: This paper is to prove the asymptotic normality of a statistic for detecting the existence of heteroscedasticity for linear regression models without assuming randomness of covariates when the sample size $n$ tends to infinity and the number of covariates $p$ is either fixed or tends to infinity. Moreover our approach indicates that its asymptotic normality holds even without homoscedasticity.

Full work available at URL: https://arxiv.org/abs/1603.03830

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zbMATH Keywords

heteroscedasticitybreusch and pagan testcltdependent random variablesdesign matrixhigh-dimensional regressionhomoscedasticitywhite's test

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15) Central limit and other weak theorems (60F05)

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Cited In (3)

• skedastic
• A Bayesian-motivated test for high-dimensional linear regression models with fixed design matrix
• Model-free tests for series correlation in multivariate linear regression

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