| 回归模型的同方差检验 |
| |
| 引用本文： | 金蛟,崔恒建.回归模型的同方差检验[J].系统科学与数学,2006,26(2):217-227. |
| |
| 作者姓名： | 金蛟 崔恒建 |
| |
| 作者单位： | 北京师范大学数学科学学院,统计与金融数学系,北京师范大学统计数据分析实验室,北京,100875 |
| |
| 基金项目： | 国家自然科学基金(10231030)，教育部高校博士学科点基金(20020027010)资助课题 |
| |
| 摘 要： | 本文利用局部经验似然和WNW方法对条件分布函数和条件分位数进行估计,并利用条件分位数的方法对回归模型中的误差方差进行了同方差假设检验,获得了零假设下检验统计量的渐近分布为X2分布．模拟计算表明同方差假设检验的条件分位数方法具有较好的功效．
|
| 关 键 词： | 同方差 局部经验似然 WNW估计量 回归分位数 条件分布函数 |
| 修稿时间： | 2003年2月26日 |
Test For Homoskedasticity Of Variance In Nonparametric Regression Model |
| |
| Jin Jiao,Cui Hengjian.Test For Homoskedasticity Of Variance In Nonparametric Regression Model[J].Journal of Systems Science and Mathematical Sciences,2006,26(2):217-227. |
| |
| Authors: | Jin Jiao Cui Hengjian |
| |
| Institution: | Department of Statistics and Financial Mathematics, School of Mathematical Sciences,Statistical Data Analysis Laboratory, Beijing Normal University, Beijing 100875 |
| |
| Abstract: | In this paper, we study nonparametric estimation of regression quantiles by inverting a weighted Naraya-Watson (WNW) estimator of conditional distribution, which was first used by Hall, Wolff and Yao (1999). We propose a new test for homoskedasticity of variance in nonparametric regression model based on local empirical likelihood and WNW conditional quantile estimator. Under null hypothesis, the test statistic is asymptotically chi square distuibution with degree of freedom m-1. A simulation study is carried out to illustrate the performance of the new test. |
| |
| Keywords: | Homoskedasticity of variance local empirical likelihood WNW estimator regression quantile conditional distribution function |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《系统科学与数学》浏览原始摘要信息 |
| 点击此处可从《系统科学与数学》下载免费的PDF全文 |
