回归模型的同方差检验
TEST FOR HOMOSKEDASTICITY OF VARIANCE IN NONPARAMETRIC REGRESSION MODEL
查看参考文献12篇
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文摘
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本文利用局部经验似然和WNW方法对条件分布函数和条件分位数进行估计,并利用条件分位数的方法对回归模型中的误差方差进行了同方差假设检验,获得了零假设下检验统计量的渐近分布为x2分布.模拟计算表明同方差假设检验的条件分位数方法具有较好的功效. |
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其他语种文摘
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In this paper, we study nonparametric estimation of regression quantiles by inverting a weighted Naraya-Watson (WNW) estimator of conditional distribution, which was first used by Hall, Wolff and Yao (1999). We propose a new test for homoskedasticity of variance in nonparametric regression model based on local empirical likelihood and WNW conditional quantile estimator. Under null hypothesis, the test statistic is asymptotically chi-square distuibution with degree of freedom m - 1. A simulation study is carried out to illustrate the performance of the new test. |
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来源
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系统科学与数学
,2006,26(2):217-227 【核心库】
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关键词
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同方差
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局部经验似然
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WNW估计量
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回归分位数
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条件分布函数
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地址
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北京师范大学数学科学学院,统计与金融数学系, 北京, 100875
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语种
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中文 |
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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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1000-0577 |
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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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国家教育部高等学校博士学科点专项科研基金
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文献收藏号
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CSCD:2348852
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参考文献 共
12
共1页
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