考虑线性回归模型 Y_■=x_4~′β+e_■ i=1,2,…设误差序列■,i≥1满足条件:e_■ i≥1 i.i.d.,Ee_1=0,Ee_1~2=σ~2>0,∞>Var e_1~2=τ~2>0。记■_n^2=1/(n-r){sum from j=1 to n e■-sum from k=1 to r (sum from j=1 to n a_(...
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考虑线性回归模型 Y_■=x_4~′β+e_■ i=1,2,…设误差序列■,i≥1满足条件:e_■ i≥1 i.i.d.,Ee_1=0,Ee_1~2=σ~2>0,∞>Var e_1~2=τ~2>0。记■_n^2=1/(n-r){sum from j=1 to n e■-sum from k=1 to r (sum from j=1 to n a_(akj)■_j)~2} δ(n)=τ^(-2)E(■_1~2-σ~2)~2I_((|■-σ~2|≥■τ)+τ^(-3)n^(1/2)|E(■_1~2-σ~2)~3I_((|■_1~2-σ~2|<(nτ)^(1/2))+τ^(-4)n^(-1)E■_1~2-σ~2)~4I_((|■-σ~2|0使得■|P(■_n^2-σ~2)/(Var■_n^2)^(1/2))≤x)-Φ(x)|≤C(δ(n)+n^(-1/2)) ■|P(■_n^2-σ~2)/(Var■_n^2)^(1/2))≤x)-Φ(x)|+n^(-1/2)≥C_1δ(n)。
一、引言如所周知,如果X1,X2,…,i、i、d,EX1=0,EX1~2=σ~2<∞,则对任何—∞<x<+∞,有(?)Fn(x)=φ(x)。其中, Fn(x)=P{1/((nσ)1/2) sum from j=1 to n Xj<x}, φ(x)=1/((2π)1/2) integral from n=-∞to x e~(-(u~2/2)) d...
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