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Asymptotic Behavior for the Extreme Values of a Linear Regression Model

Author

Listed:
  • Aliou Diop

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

  • Dominique Guegan

    (IDHE - Institutions et Dynamiques Historiques de l'Economie - ENS Cachan - École normale supérieure - Cachan - UP1 - Université Paris 1 Panthéon-Sorbonne - UP8 - Université Paris 8 Vincennes-Saint-Denis - UPN - Université Paris Nanterre - CNRS - Centre National de la Recherche Scientifique)

Abstract

We consider a class of linear regression model with extreme distribution noise. We show by a mean of point process technique that the asymptotic distribution of the maximum is the same as the one of the max of the noise process, under specific conditions.

Suggested Citation

  • Aliou Diop & Dominique Guegan, 2004. "Asymptotic Behavior for the Extreme Values of a Linear Regression Model," Post-Print halshs-00188532, HAL.
    • Handle: RePEc:hal:journl:halshs-00188532
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00188532
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