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

Authors:	Ke-Ang Fu Wei-Dong Liu Li-Xin Zhang

Institution:	^aDepartment of Mathematics, Zhejiang University, Hangzhou 310027, China

Abstract:	Let σ² be the unknown error variance of a linear model and let be the estimator of σ² 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.

Keywords:	Precise asymptotics Linear model Moment convergence Error variance estimator The law of the logarithm
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