A limit process for a sequence of partial sums of residuals of a simple regression against order statistics with Markov-modulated noise

Artyom Kovalevskii; Evgeny Shatalin

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arXiv · 1403.4332

A limit process for a sequence of partial sums of residuals of a simple regression against order statistics with Markov-modulated noise

Artyom Kovalevskii·Evgeny Shatalin

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Abstract

We consider a simple regression model where a regressor is composed of order statistics and a noise is Markov-modulated. We introduce an empirical bridge of regression residuals and prove its weak convergence to a centered Gaussian process.

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Artyom Kovalevskii, Evgeny Shatalin. 2014-10-23. A limit process for a sequence of partial sums of residuals of a simple regression against order statistics with Markov-modulated noise. https://arxiv.org/abs/1403.4332

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