A simple test for the parametric form of 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 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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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2008
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-008-0169-1