Testing for additivity in nonparametric quantile regression

Loading...
Thumbnail Image

Date

2012-01-18

Journal Title

Journal ISSN

Volume Title

Publisher

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.

Description

Table of contents

Keywords

additive estimation, bootstrap, nonparametric regression, quantile regression

Citation