A robust test for homoscedasticity in nonparametric regression

Dette, Holger; Marchlewski, Mareen

A robust test for homoscedasticity in nonparametric regression

dc.contributor.author	Dette, Holger	de
dc.contributor.author	Marchlewski, Mareen	de
dc.date.accessioned	2009-10-29T10:12:31Z
dc.date.available	2009-10-29T10:12:31Z
dc.date.issued	2009-07-09	de
dc.description.abstract	We consider a nonparametric location scale model and propose a new test for homoscedasticity (constant scale function). The test is based on an estimate of a deterministic function which vanishes if and only if the hypothesis of a constant scale function is satisfied and an empirical process estimating this function is investigated. Weak convergence to a scaled Brownian bridge is established, which allows a simple calculation of critical values. The new test can detect alternatives converging to the null hypothesis at a rate n^(-1/2) and is robust with respect to the presence of outliers. The finite sample properties are investigated by means of a simulation study, and the test is compared with some non-robust tests for a constant scale function, which have recently been proposed in the literature.	en
dc.identifier.uri	http://hdl.handle.net/2003/26484
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-12671
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823; 9/2009	de
dc.subject	Brownian Bridge	en
dc.subject	nonparametric regression	en
dc.subject	robust test for heteroscedasticity	en
dc.subject	scale check	en
dc.subject.ddc	310	de
dc.subject.ddc	330	de
dc.subject.ddc	620	de
dc.title	A robust test for homoscedasticity in nonparametric regression	en
dc.type	Text	de
dc.type.publicationtype	report	de
dcterms.accessRights	open access

Files

Original bundle

Now showing 1 - 1 of 1

Name:: 009.pdf
Size:: 236.06 KB
Format:: Adobe Portable Document Format
Description:: DNB

Download

Collections

Sonderforschungsbereich (SFB) 823