Moderate deviation principle for the error variance estimator in linear models

作者：Miao, Yu^*; Geng, Weiqiang; Li, Nan; Xiao, Qing

来源：Communications in Statistics - Theory and Methods, 2014, 43(19): 4215-4222.

DOI：10.1080/03610926.2012.724505

• Moderate deviation principle
• Error variance estimator
• Linear models

In this article, we consider the following linear model
Y-i = X'(i) beta + xi(i), i = 1, 2, ... ,
where beta is a q-dimensional unknown parametric vector, and {xi(i)} is a sequence of i.i.d. trial errors with E xi(1) = 0 and 0 < sigma(2) = E xi(2)(1) < infinity. Our purpose is to establish the moderate deviation principle for the estimator of the error variance sigma(2).

• 出版日期2014
• 单位河南师范大学