Moderate deviation principle for the error variance estimator in linear models
Yu Miao, Weiqiang Geng, Nan Li, Qing Xiao · Communication in Statistics- Theory and Methods · 2014
In this article, we consider the following linear model where β is a q-dimensional unknown parametric vector, and {ξi} is a sequence of i.i.d. trial errors with and . Our purpose is to establish the moderate deviation principle for the estimator of the error variance σ2.