Asymptotic results for estimation and testing variances in regression models |
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| Authors: | Wolfgang H. Schmidt |
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| Affiliation: | Sektion Mathematik , Humboldt-Universit?t , Unter den Linden 6, Postfach 1297, Berlin, DDR-1086 |
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| Abstract: | Usually the variance of independent observations resulting from a linear or a nonlinear relationship is estimated by the Least-Squares residual estimator. In this paper its asymptotic properties are investigated. Further the asymptotic behaviour of tests for one-sided hypotheses on the variance is studied. The paper splits into two parts, the first one concerned with linear and the second one with nonlinear models. |
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| Keywords: | Linear models nonlinear models variance estimator Least Squares residual estimator consistency asymptotic normality rate of convergence asymptotic tests |
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