Abstract: We investigate a linear regression model with one unknown parameter. The idea of recursive regression residuals is to estimate the regression parameter at each moment on the base of previous variables. Therefore the distribution of recursive residuals does not depend on the parameter. We investigate conditions for the weak convergence of the process of sums of recursive residuals, properly normalized, to a standard Wiener process. We obtain new conditions, which are better than ones in Sen (1982). The recursive residuals were introduced by Brown, Durbïn and Evans (1975). Such residuals are the useful instrument for testing hypotheses about linear regression. Our results give opportunity to use correctly recursive residuals for a wide class of regression sequences, including sinusoidal and i.i.d. bounded. © 2021. Sakhanenko A.I., Kovalevskii A.P., Shelepova A.D.

Cite: Sakhanenko A.I. , Kovalevskii A.P. , Shelepova A.D.
REMARKS ON INVARIANCE PRINCIPLE FOR ONE-PARAMETRIC RECURSIVE RESIDUALS
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2021. V.18. N2. P.1058-1074. DOI: 10.33048/SEMI.2021.18.081 WOS Scopus OpenAlex

Identifiers:

Web of science:	WOS:000734395000001
Scopus:	2-s2.0-85120952181
OpenAlex:	W3213482400

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