Detecting heteroskedasticity in nonparametric regression using weighted empirical processes
| dc.contributor.author | Chown, Justin | |
| dc.contributor.author | Müller, Ursula U. | |
| dc.date.accessioned | 2016-10-14T10:19:04Z | |
| dc.date.available | 2016-10-14T10:19:04Z | |
| dc.date.issued | 2016 | |
| dc.description.abstract | Heteroskedastic errors can lead to inaccurate statistical conclusions if they are not properly handled. We introduce a test for heteroskedasticity for the nonparametric regression model with multiple covariates. It is based on a suitable residual-based empirical distribution function. The residuals are constructed using local polynomial smoothing. Our test statistic involves a "detection function" that can verify heteroskedasticity by exploiting just the independence-dependence structure between the detection function and model errors, i.e. we do not require a specific model of the variance function. The procedure is asymptotically distribution free: inferences made from it do not depend on unknown parameters. It is consistent at the parametric (root-n) rate of convergence. Our results are extended to the case of missing responses and illustrated with simulations. | en |
| dc.identifier.uri | http://hdl.handle.net/2003/35284 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17327 | |
| dc.language.iso | en | de |
| dc.relation.ispartofseries | Discussion Paper / SFB823;50, 2016 | en |
| dc.subject | heteroskedastic nonparametric regression | en |
| dc.subject | weighted empirical process | en |
| dc.subject | transfer principle | en |
| dc.subject | missing at random | en |
| dc.subject | local polynomial smoother | en |
| dc.subject.ddc | 310 | |
| dc.subject.ddc | 330 | |
| dc.subject.ddc | 620 | |
| dc.subject.rswk | Heteroskedastizität | de |
| dc.subject.rswk | Nichtparametrische Regression | de |
| dc.subject.rswk | Statistischer Test | de |
| dc.title | Detecting heteroskedasticity in nonparametric regression using weighted empirical processes | en |
| dc.type | Text | de |
| dc.type.publicationtype | workingPaper | de |
| dcterms.accessRights | open access |