Testing for additivity in nonparametric quantile regression
Loading...
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