Model checks for regression: An innovation process approach
文献类型：期刊论文
| 作者 | Stute, W; Thies, S; Zhu, LX |
| 刊名 | ANNALS OF STATISTICS
 |
| 出版日期 | 1998-10-01 |
| 卷号 | 26期号:5页码:1916-1934 |
| 关键词 | residual cusum process innovation process goodness-of-fit tests |
| ISSN号 | 0090-5364 |
| 英文摘要 | In the context of regression analysis it is known that the residual cusum process may serve as a basis for the construction of various omnibus, smooth and directional goodness-of-fit tests. Since a deeper analysis requires the decomposition of the cusums into their principal components and this is difficult to obtain, we propose to replace this process by its innovation martingale. It turns out that the resulting tests are (asymptotically) distribution free under composite null models and may be readily performed. A simulation study is included which indicates that the distributional approximations already work for small to moderate sample sizes. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000079135700012 |
| 出版者 | INST MATHEMATICAL STATISTICS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/13385]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Stute, W |
| 作者单位 | 1.Univ Giessen, Inst Math, D-35392 Giessen, Germany 2.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Stute, W,Thies, S,Zhu, LX. Model checks for regression: An innovation process approach[J]. ANNALS OF STATISTICS,1998,26(5):1916-1934. |
| APA | Stute, W,Thies, S,&Zhu, LX.(1998).Model checks for regression: An innovation process approach.ANNALS OF STATISTICS,26(5),1916-1934. |
| MLA | Stute, W,et al."Model checks for regression: An innovation process approach".ANNALS OF STATISTICS 26.5(1998):1916-1934. |
入库方式： OAI收割
来源：数学与系统科学研究院
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