Model checks for parametric regression models

被引：1

作者：

Liebscher, Eckhard ^{[1
]}

机构：

[1] Univ Appl Sci Merseburg, Dept Comp Sci & Commun Syst, D-06217 Merseburg, Germany

来源：

TEST | 2012年 / 21卷 / 01期

关键词：

Model checks; Fixed-design regression model; Nonparametric variance estimator; VARIANCE-FUNCTION ESTIMATION; GOODNESS-OF-FIT; NONPARAMETRIC REGRESSION; RESIDUAL VARIANCE; CONSISTENT TEST; LEAST-SQUARES; DIFFERENCE; ESTIMATORS; HETEROSCEDASTICITY; COVARIATE;

D O I：

10.1007/s11749-011-0239-1

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：

In the paper we deal with the problem of model selection among fixed-design regression models. We establish a new test that indicates whether or not the model fits the data. The test statistic is based on the difference between a parametric estimator for the model variance and a nonparametric difference-based estimator, see Hall et al. (Biometrika 77:521-528, 1990). The weights in the nonparametric estimator depend on n, and they are chosen by solving an optimisation problem in order to obtain a test with high power.

引用

页码：132 / 155

页数：24

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