Precise asymptotics for the first moment of the error variance estimator in linear models

Let 2 be the unknown error variance of a linear model and let ^2 be the estimator of 2 based on the residual sum of squares. In this work, we show the precise asymptotics in the law of the logarithm for the first moment of the error variance estimator. c 2007 Elsevier Ltd. All rights reserved.

• Type: Journal
• Year: 2008
• Where: APPML
• Authors: Ke-Ang Fu, Wei-Dong Liu, Li-Xin Zhang
• Keywords: APPML 2008, Error Variance, Error Variance Estimator, Unknown Error Variance