Authors: Dette, Holger
Lieres und Wilkau, Carsten von
Title: Testing additivity by kernel based methods - what is a reasonable test?
Language (ISO): en
Abstract: In the common nonparametric regression model with high dimensional predictor several tests for the hypothesis of an additive regression are investigated. The corresponding test statistics are either based on the differences between a fit under the assumption of additivity and a fit in the general model or based on residuals under the assumption of additivity. For all tests asymptotic normality is established under the null hypothesis of additivity and under fixed alternatives with different rates of convergence corresponding to both cases. These results are used for a comparison of the different methods. It is demonstrated that a statistic based on an empirical L2 distance of the Nadaraya Watson and the marginal integration estimator yields the (asymptotically) most efficient procedure, if these are compared with respect to the asymptotic behaviour under fixed alternatives.
Subject Headings: additive models
dimension reduction
test of additivity
marginal integration estimate
URI: http://hdl.handle.net/2003/5047
http://dx.doi.org/10.17877/DE290R-15134
Issue Date: 2000
Publisher: Universitätsbibliothek Dortmund
Appears in Collections:Sonderforschungsbereich (SFB) 475

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