تقرير
A martingale-transform goodness-of-fit test for the form of the conditional variance
| العنوان: | A martingale-transform goodness-of-fit test for the form of the conditional variance |
|---|---|
| المؤلفون: | Dette, H., Hetzler, B. |
| سنة النشر: | 2008 |
| المجموعة: | Mathematics Statistics |
| مصطلحات موضوعية: | Mathematics - Statistics Theory, 62G05 |
| الوصف: | In the common nonparametric regression model the problem of testing for a specific parametric form of the variance function is considered. Recently Dette and Hetzler (2008) proposed a test statistic, which is based on an empirical process of pseudo residuals. The process converges weakly to a Gaussian process with a complicated covariance kernel depending on the data generating process. In the present paper we consider a standardized version of this process and propose a martingale transform to obtain asymptotically distribution free tests for the corresponding Kolmogorov-Smirnov and Cram\'{e}r-von-Mises functionals. The finite sample properties of the proposed tests are investigated by means of a simulation study. Comment: 24 pages |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/0809.4914 |
| رقم الأكسشن: | edsarx.0809.4914 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |