Authors: | Chown, Justin Bissantz, Nicolai Dette, Holger |
Title: | Goodness-of-fit testing the error distribution in multivariate indirect regression |
Language (ISO): | en |
Abstract: | We propose a goodness-of-fit test for the distribution of errors from a multivariate indirect regression model. The test statistic is based on the Khmaladze transformation of the empirical process of standardized residuals. This goodness-of-fit test is consistent at the root-n rate of convergence, and the test can maintain power against local alternatives converging to the null at a root-n rate. |
Subject Headings: | hypothesis testing regularization multivariate regression inverse problems indirect regression estimator |
URI: | http://hdl.handle.net/2003/37835 http://dx.doi.org/10.17877/DE290R-19830 |
Issue Date: | 2018 |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3418_SFB823_Chown_Bissantz_Dette.pdf | DNB | 778.38 kB | Adobe PDF | View/Open |
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