ON BOOTSTRAPPING M-ESTIMATED RESIDUAL PROCESSES IN MULTIPLE LINEAR-REGRESSION MODELS

被引：10

作者：

KOUL, HL ^{[1
]}

LAHIRI, SN ^{[1
]}

机构：

[1] IOWA STATE UNIV SCI & TECHNOL,AMES,IA 50011

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1994年 / 49卷 / 02期

关键词：

GOODNESS-OF-FIT TESTS; M-ESTIMATORS; WEIGHTED RESIDUAL EMPIRICAL PROCESSES; CONFIDENCE BANDS;

D O I：

10.1006/jmva.1994.1025

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

It is shown, under fairly general conditions, that Efron's bootstrap procedure captures the limit distribution of weighted empirical processes based on M-estimated residuals in multiple linear regression models. As an application, we construct bootstrap confidence bands for the error distribution function F. The main result can also be used to design distribution-free goodness-of-fit tests for F without any recourse to the split-sample estimation of the regression parameters. (C) 1994 Academic Press, Inc.

引用

页码：255 / 265

页数：11

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