Authors: | Dette, Holger Marchlewski, Mareen Wagener, Jens |
Title: | Testing for a constant coefficient of variation in nonparametric regression |
Language (ISO): | en |
Abstract: | In the common nonparametric regression model Y_i=m(X_i)+sigma(X_i)epsilon_i we consider the problem of testing the hypothesis that the coefficient of the scale and location function is constant. The test is based on a comparison of the observations Y_i=\hat{sigma}(X_i) with their mean by a smoothed empirical process, where \hat{sigma} denotes the local linear estimate of the scale function. We show weak convergence of a centered version of this process to a Gaussian process under the null hypothesis and the alternative and use this result to construct a test for the hypothesis of a constant coefficient of variation in the nonparametric regression model. A small simulation study is also presented to investigate the finite sample properties of the new test. AMS Subject Classi cation: 62G10, 62F35 |
Subject Headings: | Nonparametric regression Smoothed empirical process Test for constant coefficient of variation |
URI: | http://hdl.handle.net/2003/27463 http://dx.doi.org/10.17877/DE290R-15774 |
Issue Date: | 2010-11-10 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_4510_SFB823_dette_marchlewski_wagener.pdf | DNB | 378.25 kB | Adobe PDF | View/Open |
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