线性模型中LSE函数的Berry-Esseen界限

BERRY-ESSEEN LIMIT OF LSE FUNCTION OF PARAMETER β IN A LINEAR MODEL

考虑线性模型试验点列{x_k)为一串已知的p维向量,β为未知的回归系数,{e_k}为一串独立的试验误差。

Let β_n be an LSE of parameter β in a linear model.This paper proves that the distribution of statistic f(β_n)-Ef(β_n)/{Varf(β_n)}^(1/2) converges to the standard normal distribution w.ith ideal rate O under certain conditions with el independent but non-identically distributed.