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Empirical likelihood based diagnostics for heteroscedasticity in partial linear models

文献类型：期刊论文

作者Wong, Heung1; Liu, Feng2; Chen, Min3; Ip, Wai Cheung1
刊名COMPUTATIONAL STATISTICS & DATA ANALYSIS
出版日期2009-07-01
卷号53期号:9页码:3466-3477
ISSN号0167-9473
DOI10.1016/j.csda.2009.02.029
英文摘要In this paper, we propose a diagnostic technique for checking heteroscedasticity based on empirical likelihood for the partial linear models. We construct an empirical likelihood ratio test for heteroscedasticity. Also, under mild conditions, a nonparametric version of Wilk's theorem is derived, which says that our proposed test has an asymptotic chi-square distribution. Simulation results reveal that the finite sample performance of our proposed test is satisfactory in both size and power. An empirical likelihood bootstrap simulation is also conducted to overcome the size distortion in small sample sizes. (C) 2009 Elsevier B.V. All rights reserved.
资助项目AMSS-PolyU ; Science and Technology Project[KJ 080609] ; National Key Basic Research Program of China[2007CB814902] ; National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[10628104] ; National Natural Science Foundation of China[10721101] ; Research Committee of the Hong Kong Polytechnic University
WOS研究方向Computer Science ; Mathematics
语种英语
WOS记录号WOS:000266381800018
出版者ELSEVIER SCIENCE BV
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/8552]  
专题应用数学研究所
通讯作者Wong, Heung
作者单位1.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
2.Chongqing Inst Technol, Dept Stat, Chongqing 400050, Peoples R China
3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式
GB/T 7714		 Wong, Heung,Liu, Feng,Chen, Min,et al. Empirical likelihood based diagnostics for heteroscedasticity in partial linear models[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2009,53(9):3466-3477.
APA Wong, Heung,Liu, Feng,Chen, Min,&Ip, Wai Cheung.(2009).Empirical likelihood based diagnostics for heteroscedasticity in partial linear models.COMPUTATIONAL STATISTICS & DATA ANALYSIS,53(9),3466-3477.
MLA Wong, Heung,et al."Empirical likelihood based diagnostics for heteroscedasticity in partial linear models".COMPUTATIONAL STATISTICS & DATA ANALYSIS 53.9(2009):3466-3477.

入库方式： OAI收割

来源：数学与系统科学研究院

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