Heteroscedasticity checks for regression models
文献类型：期刊论文
| 作者 | Zhu, LX; Fujikoshi, Y; Naito, K |
| 刊名 | SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY
 |
| 出版日期 | 2001-10-01 |
| 卷号 | 44期号:10页码:1236-1252 |
| 关键词 | bootstrap empirical process heteroscedasticity |
| ISSN号 | 1006-9283 |
| 英文摘要 | For checking on heteroscedasticity in regression models, a unified approach is proposed to constructing test statistics in parametric and nonparametric regression models. For nonparametric regression, the test is not affected sensitively by the choice of smoothing parameters which are involved in estimation of the nonparametric regression function. The limiting null distribution of the test statistic remains the same in a wide range of the smoothing parameters. When the covariate is one-dimensional, the tests are, under some conditions, asymptotically distribution-free. In the high-dimensional cases, the validity of bootstrap approximations is investigated. It is shown that a variant of the wild bootstrap is consistent while the classical bootstrap is not in the general case, but is applicable if some extra assumption on conditional variance of the squared error is imposed. A simulation study is performed to provide evidence of how the tests work and compare with tests that have appeared in the literature. The approach may readily be extended to handle partial linear, and linear autoregressive models. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000172008800002 |
| 出版者 | SCIENCE PRESS |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/16333]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhu, LX |
| 作者单位 | 1.Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 3.Hiroshima Univ, Dept Math, Hiroshima 730, Japan |
| 推荐引用方式 GB/T 7714 | Zhu, LX,Fujikoshi, Y,Naito, K. Heteroscedasticity checks for regression models[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,2001,44(10):1236-1252. |
| APA | Zhu, LX,Fujikoshi, Y,&Naito, K.(2001).Heteroscedasticity checks for regression models.SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY,44(10),1236-1252. |
| MLA | Zhu, LX,et al."Heteroscedasticity checks for regression models".SCIENCE IN CHINA SERIES A-MATHEMATICS PHYSICS ASTRONOMY 44.10(2001):1236-1252. |
入库方式： OAI收割
来源：数学与系统科学研究院
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