| Heteroscedasticity and/or Autocorrelation Checks in Longitudinal Nonlinear Models with Elliptical and AR（1） Errors |
| |
| 作者姓名： | Chun-Zheng CAO Jin-Guan LIN |
| |
| 作者单位： | [1]College of Math ＆ Physics, Nanjing University of Information Science ＆ Technology, Nanjing 210044, China [2]Department of Mathematics, Southeast University, Nanjing 210096, China |
| |
| 基金项目： | Supported by the National Natural Science Foundation of China (No. 11171065 and NSFJSBK2011058) |
| |
| 摘 要： | The aim of this paper is to study the tests for variance heterogeneity and/or autocorrelation in nonlinear regression models with elliptical and AR(1) errors. The elliptical class includes several symmetric multivariate distributions such as normal, Student-t, power exponential, among others. Several diagnostic tests using score statistics and their adjustment are constructed. The asymptotic properties, including asymptotic chi-square and approximate powers under local alternatives of the score statistics, are studied. The properties of test statistics are investigated through Monte Carlo simulations. A data set previously analyzed under normal errors is reanalyzed under elliptical models to illustrate our test methods.
|
| 关 键 词： | 非线性回归模型 误差分析 椭圆形 自相关 异方差 数据模型 AR 检查 |
Heteroscedasticity and/or autocorrelation checks in longitudinal nonlinear models with elliptical and AR(1) errors |
| |
| Chun-Zheng CAO,Jin-Guan LIN.Heteroscedasticity and/or autocorrelation checks in longitudinal nonlinear models with elliptical and AR(1) errors[J].Acta Mathematicae Applicatae Sinica,2012,28(1):49-62. |
| |
| Authors: | Chun-Zheng Cao Jin-Guan Lin |
| |
| Institution: | Chun-Zheng CAO1,2, Jin-Guan LIN2 1College of Math & Physics, Nanjing University of Information Science & Technology, Nanjing 210044, China 2Department of Mathematics, Southeast University, Nanjing 210096, China |
| |
| Abstract: | The aim of this paper is to study the tests for variance heterogeneity and/or autocorrelation in nonlinear regression models
with elliptical and AR(1) errors. The elliptical class includes several symmetric multivariate distributions such as normal,
Student-t, power exponential, among others. Several diagnostic tests using score statistics and their adjustment are constructed. The
asymptotic properties, including asymptotic chi-square and approximate powers under local alternatives of the score statistics,
are studied. The properties of test statistics are investigated through Monte Carlo simulations. A data set previously analyzed
under normal errors is reanalyzed under elliptical models to illustrate our test methods. |
| |
| Keywords: | autocorrelation elliptical distributions heteroscedasticity longitudinal data nonlinear model score test |
| 本文献已被 CNKI 维普 SpringerLink 等数据库收录！ |
