Heteroscedasticity and/or Autocorrelation Checks in Longitudinal Nonlinear Models with Elliptical and AR(1) Errors
查看参考文献26篇
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文摘
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The aim of this paper is to study the tests for variance heterogeneity and/or autocorrelation in nonlinear regression models with elliptical and AR(1) errors. The elliptical class includes several symmetric multivariate distributions such as normal, Student-t, power exponential, among others. Several diagnostic tests using score statistics and their adjustment are constructed. The asymptotic properties, including asymptotic chi-square and approximate powers under local alternatives of the score statistics, are studied. The properties of test statistics are investigated through Monte Carlo simulations. A data set previously analyzed under normal errors is reanalyzed under elliptical models to illustrate our test methods. |
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来源
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Acta Mathematicae Applicatae Sinica-English Series
,2012,28(1):49-62 【核心库】
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DOI
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10.1007/s10255-012-0123-0
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关键词
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autocorrelation
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elliptical distributions
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heteroscedasticity
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longitudinal data
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nonlinear model
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score test
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地址
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1.
College of Math & Physics, Nanjing University of Information Science & Technology, Nanjing, 210044
2.
Department of Mathematics, Southeast University, Nanjing, 210096
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语种
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英文 |
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文献类型
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研究性论文 |
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ISSN
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0168-9673 |
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学科
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数学 |
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基金
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国家自然科学基金
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文献收藏号
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CSCD:4499545
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