Testing for a constant coefficient of variation in nonparametric regression

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dc.contributor.authorDette, Holger
dc.contributor.authorMarchlewski, Mareen
dc.contributor.authorWagener, Jens
dc.date.accessioned2010-11-10T10:27:11Z
dc.date.available2010-11-10T10:27:11Z
dc.date.issued2010-11-10
dc.description.abstractIn the common nonparametric regression model Y_i=m(X_i)+sigma(X_i)epsilon_i we consider the problem of testing the hypothesis that the coefficient of the scale and location function is constant. The test is based on a comparison of the observations Y_i=\hat{sigma}(X_i) with their mean by a smoothed empirical process, where \hat{sigma} denotes the local linear estimate of the scale function. We show weak convergence of a centered version of this process to a Gaussian process under the null hypothesis and the alternative and use this result to construct a test for the hypothesis of a constant coefficient of variation in the nonparametric regression model. A small simulation study is also presented to investigate the finite sample properties of the new test. AMS Subject Classi cation: 62G10, 62F35en
dc.identifier.urihttp://hdl.handle.net/2003/27463
dc.identifier.urihttp://dx.doi.org/10.17877/DE290R-15774
dc.language.isoende
dc.relation.ispartofseriesDiscussion Paper / SFB 823;45/2010
dc.subjectNonparametric regressionen
dc.subjectSmoothed empirical processen
dc.subjectTest for constant coefficient of variationen
dc.subject.ddc310
dc.subject.ddc330
dc.subject.ddc620
dc.titleTesting for a constant coefficient of variation in nonparametric regressionen
dc.typeTextde
dc.type.publicationtypeworkingPaperde
dcterms.accessRightsopen access

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