A model specification test for the variance function in nonparametric regression
نویسندگان
چکیده
منابع مشابه
www.econstor.eu A simple test for the parametric form of the variance function in nonparametric regression
In this paper a new test for the parametric form of the variance function in the common nonparametric regression model is proposed which is applicable under very weak smoothness assumptions. The new test is based on an empirical process formed from pseudo residuals, for which weak convergence to a Gaussian process can be established. In the special case of testing for homoscedasticity the limit...
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In the common nonparametric regression model the problem of testing for the parametric form of the conditional variance is considered. A stochastic process based on the difference between the empirical processes obtained from the standardized nonparametric residuals under the null hypothesis (of a specific parametric form of the variance function) and the alternative is introduced and its weak ...
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Variance function estimation in multivariate nonparametric regression is considered and the minimax rate of convergence is established. Our work uses the approach that generalizes the one used in Munk et al (2005) for the constant variance case. As is the case when the number of dimensions d = 1, and very much contrary to the common practice, it is often not desirable to base the estimator of t...
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ژورنال
عنوان ژورنال: AStA Advances in Statistical Analysis
سال: 2018
ISSN: 1863-8171,1863-818X
DOI: 10.1007/s10182-018-00336-y