Show that, for the ordinary linear regression problem with an intercept and one dependent variable, x, that
Question:
Show that, for the ordinary linear regression problem with an intercept and one dependent variable, x, that n22 = (n − 1)(n − 3)/n +∑(xi − x)
4/(∑(xi − x)
2)
2 and that, for equally spaced x-values, this reduces to n22 = (n − 2)
2/n + 4/ (5n) + O (n
−2)
in reasonable agreement with the approximations of Section 4.7.2. Show more generally, that the discrepancy between n22 and the approximation (n
− 2)
2
/n, is a function of the standardized fourth cuumulant of the x-values.
Find this function explicitly.
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Related Book For
Tensor Methods In Statistics Monographs On Statistics And Applied Probability
ISBN: 9781315898018
1st Edition
Authors: Peter McCullagh
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