کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149829 957898 2008 17 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A test for the parametric form of the variance function in a partial linear regression model
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
A test for the parametric form of the variance function in a partial linear regression model
چکیده انگلیسی
We consider the problem of testing for a parametric form of the variance function in a partial linear regression model. A new test is derived, which can detect local alternatives converging to the null hypothesis at a rate n-1/2 and is based on a stochastic process of the integrated variance function. We establish weak convergence to a Gaussian process under the null hypothesis, fixed and local alternatives. In the special case of testing for homoscedasticity the limiting process is a scaled Brownian bridge. We also compare the finite sample properties with a test based on an L2-distance, which was recently proposed by You and Chen [2005. Testing heteroscedasticity in partially linear regression models. Statist. Probab. Lett. 73, 61-70].
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 138, Issue 10, 1 October 2008, Pages 3005-3021
نویسندگان
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