Goodness-of-fit testing for varying-coefficient models

被引：12

作者：

Xu, Wang-Li ^{[2
]}

Zhu, Li-Xing ^{[1
]}

机构：

[1] Hong Kong Baptist Univ, Dept Math, Kowloon Tong, Hong Kong, Peoples R China

[2] Renmin Univ China, Sch Stat, Beijing, Peoples R China

来源：

METRIKA | 2008年 / 68卷 / 02期

关键词：

varying-coefficient model; empirical process; re-sampling;

D O I：

10.1007/s00184-007-0147-2

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：

We construct an empirical process-based test to examine the adequacy of varying-coefficient models. A Monte Carlo approach is applied to approximate the null distribution of the test. Due to the use of the Monte Carlo test procedure, beyond the desired features that are shared by the existing empirical process-based tests, our test is self-invariant, which overcomes the difficulty of estimating the variance of the test. Simulations are provided to illustrate our methodology.

引用

页码：129 / 146

页数：18

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