Asymptotic Behavior for the Extreme Values of a Linear Regression Model

Aliou Diop (1) , Dominique Guegan (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

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.

Mots clés: Extreme value theory; Poisson random process; Point process; regression model.; regression model

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]; Théorie [stat.TH]

Aliou Diop, Dominique Guegan. Asymptotic Behavior for the Extreme Values of a Linear Regression Model. African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67. ⟨halshs-00188532⟩