A lack-of-fit test for quantile regression
文献类型：期刊论文
| 作者 | He, XM; Zhu, LX |
| 刊名 | JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
 |
| 出版日期 | 2003-12-01 |
| 卷号 | 98期号:464页码:1013-1022 |
| 关键词 | consistency cusum process empirical process goodness-of fit linear regression local alternative resampling |
| ISSN号 | 0162-1459 |
| DOI | 10.1198/016214503000000963 |
| 英文摘要 | We propose an omnibus lack-of-fit test for linear or nonlinear quantile regression based on a cusum process of the gradient vector. The test does not involve nonparametric smoothing but is consistent for all nonparametric alternatives without any moment conditions on the regression error. In addition, the test is suitable for detecting the local alternatives of any order arbitrarily close to n(-1/2) from the null hypothesis. The limiting distribution of the proposed test statistic is non-Gaussian but can be characterized by a Gaussian process. We propose a simple sequential resampling scheme to carry out the test whose nominal levels are well approximated in our empirical study for small and modest sample sizes. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000188318600026 |
| 出版者 | AMER STATISTICAL ASSOC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/19064]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | He, XM |
| 作者单位 | 1.Univ Illinois, Dept Stat, Champaign, IL 61820 USA 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | He, XM,Zhu, LX. A lack-of-fit test for quantile regression[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2003,98(464):1013-1022. |
| APA | He, XM,&Zhu, LX.(2003).A lack-of-fit test for quantile regression.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,98(464),1013-1022. |
| MLA | He, XM,et al."A lack-of-fit test for quantile regression".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 98.464(2003):1013-1022. |
入库方式： OAI收割
来源：数学与系统科学研究院
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