A central limit theorem for sums of functions of residuals in a high-dimensional regression model with an application to variance homoscedasticity test
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DOI: 10.1007/s11749-017-0575-x
Abstract: We establish a joint central limit theorem for sums of squares and the fourth powers of residuals in a high-dimensional regression model. We then apply this CLT to detect the existence of heteroscedasticity for linear… read more here.
Keywords: high dimensional; regression; theorem sums; residuals high ... See more keywords