Authors: Dette, Holger
Guhlich, Matthias
Neumeyer, Natalie
Title: Testing for additivity in nonparametric quantile regression
Language (ISO): en
Abstract: In this article we propose a new test for additivity in nonparametric quantile regression with a high dimensional predictor. Asymptotic normality of the corresponding test statistic (after appropriate standardization) is established under the null hypothesis, local and fixed alternatives. We also propose a bootstrap procedure which can be used to improve the approximation of the nominal level for moderate sample sizes. The methodology is also illustrated by means of a small simulation study, and a data example is analyzed.
Subject Headings: additive estimation
bootstrap
nonparametric regression
quantile regression
URI: http://hdl.handle.net/2003/29283
http://dx.doi.org/10.17877/DE290R-3637
Issue Date: 2012-01-18
Appears in Collections:Sonderforschungsbereich (SFB) 823

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