PRECISE ASYMPTOTICS IN THE ESTIMATION OF THE ERROR VARIANCE IN LINEAR MODELS
Qiu Jin · Chinese Annals of Mathematics,series A · 2005
This paper discusses the linear model Yi = Xi1β+ei, i=1,2, …,n, where {ei,i=1,2,…, n} are i.i.d. random variables with mean zeros and finite variances. The precise asymptotics in the LLN and LIL of the estimation of the error variance Ee12 is showed.