Limit Processes for Sequences of Partial Sums of Regression Residuals

MacNeill, Ian B.

Ann. Probab., Tome 6 (1978) no. 6, p. 695-698 / Harvested from Project Euclid

Résumé

Linear regression of a random variable against several functions of time is considered. Limit processes are obtained for the sequences of partial sums of residuals. The limit processes, which are functions of Brownian motion, have covariance kernels of the form: $$K(s, t) = \min (s,t) - \int^t_0 \int^s_0 g(x, y) dx dy.$$ The limit process and its covariance kernel are explicitly stated for each of polynomial and harmonic regression.

Publié le : 1978-08-14
Classification: Brownian motion, harmonic regression, polynomial regression, regression residuals, weak convergence, 60F05, 62J05

@article{1176995491,
     author = {MacNeill, Ian B.},
     title = {Limit Processes for Sequences of Partial Sums of Regression Residuals},
     journal = {Ann. Probab.},
     volume = {6},
     number = {6},
     year = {1978},
     pages = { 695-698},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995491}
}

MacNeill, Ian B. Limit Processes for Sequences of Partial Sums of Regression Residuals. Ann. Probab., Tome 6 (1978) no. 6, pp.  695-698. http://gdmltest.u-ga.fr/item/1176995491/