A limit process for a sequence of partial sums of residuals of a simple regression on order statistics with Markovmodulated noise

  1. Artyom Kovalevskii
  2. Evgeny Shatalin


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. In the proof we use convergence properties of order statistics.

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Probability and Mathematical Statistics

36, z. 1, 2016

Pages from 113 to 120

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