Translator Disclaimer
August 1998 A functional central limit theorem for regression models
Wolfgang Bischoff
Ann. Statist. 26(4): 1398-1410 (August 1998). DOI: 10.1214/aos/1024691248

Abstract

Let a linear regression be given. For detecting change-points, it is usual to consider the sequence of partial sums of least squares residuals whence a partial sums process is defined. Given a sequence of exact experimental designs, we consider for each design the corresponding partial sums process. If the sequence of designs converges to a continuous design, we derive the explicit form of the limit process of the corresponding sequence of partial sums processes. This is a complicated function of the Brownian motion. These results are useful for the problem of testing for change of regression at known or unknown times.

Citation

Download Citation

Wolfgang Bischoff. "A functional central limit theorem for regression models." Ann. Statist. 26 (4) 1398 - 1410, August 1998. https://doi.org/10.1214/aos/1024691248

Information

Published: August 1998
First available in Project Euclid: 21 June 2002

zbMATH: 0936.62072
MathSciNet: MR1647677
Digital Object Identifier: 10.1214/aos/1024691248

Subjects:
Primary: 60F17, 60G15, 62J05

Rights: Copyright © 1998 Institute of Mathematical Statistics

JOURNAL ARTICLE
13 PAGES


SHARE
Vol.26 • No. 4 • August 1998
Back to Top