Autor(en): | Dette, Holger Marchlewski, Mareen |
Titel: | A robust test for homoscedasticity in nonparametric regression |
Sprache (ISO): | en |
Zusammenfassung: | We consider a nonparametric location scale model and propose a new test for homoscedasticity (constant scale function). The test is based on an estimate of a deterministic function which vanishes if and only if the hypothesis of a constant scale function is satisfied and an empirical process estimating this function is investigated. Weak convergence to a scaled Brownian bridge is established, which allows a simple calculation of critical values. The new test can detect alternatives converging to the null hypothesis at a rate n^(-1/2) and is robust with respect to the presence of outliers. The finite sample properties are investigated by means of a simulation study, and the test is compared with some non-robust tests for a constant scale function, which have recently been proposed in the literature. |
Schlagwörter: | Brownian Bridge nonparametric regression robust test for heteroscedasticity scale check |
URI: | http://hdl.handle.net/2003/26484 http://dx.doi.org/10.17877/DE290R-12671 |
Erscheinungsdatum: | 2009-07-09 |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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009.pdf | DNB | 236.06 kB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt.
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