| TESTING OF CORRELATION AND HETEROSCEDASTICITY IN NONLINEAR REGRESSION MODELS WITH DBL（p,q, 1） RANDOM ERRORS |
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| 引用本文： | 刘应安,韦博成.TESTING OF CORRELATION AND HETEROSCEDASTICITY IN NONLINEAR REGRESSION MODELS WITH DBL（p,q, 1） RANDOM ERRORS[J].数学物理学报(B辑英文版),2008,28(3):613-632. |
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| 作者姓名： | 刘应安 韦博成 |
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| 作者单位： | [1]College of Information Science and Technology, Nanjing Forestry University, Nanjing 210037, China; [2]Department of Mathematics, Southeast University, Nanjing 210096, China |
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| 基金项目： | This work is supported by NNSFC （10671032） |
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| 摘 要： | Chaos theory has taught us that a system which has both nonlinearity and random input will most likely produce irregular data. If random errors are irregular data, then random error process will raise nonlinearity （Kantz and Schreiber （1997））. Tsai （1986） introduced a composite test for autocorrelation and heteroscedasticity in linear models with AR（1） errors. Liu （2003） introduced a composite test for correlation and heteroscedasticity in nonlinear models with DBL（p, 0, 1） errors. Therefore, the important problems in regression model axe detections of bilinearity, correlation and heteroscedasticity. In this article, the authors discuss more general case of nonlinear models with DBL（p, q, 1） random errors by score test. Several statistics for the test of bilinearity, correlation, and heteroscedasticity are obtained, and expressed in simple matrix formulas. The results of regression models with linear errors are extended to those with bilinear errors. The simulation study is carried out to investigate the powers of the test statistics. All results of this article extend and develop results of Tsai （1986）, Wei, et al （1995）, and Liu, et al （2003）.
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| 关 键 词： | 非线性回归模型 随机误差 异方差性 相关性 |
TESTING OF CORRELATION AND HETEROSCEDASTICITY IN NONLINEAR REGRESSION MODELS WITH DBL（p,q, 1） RANDOM ERRORS |
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| Institution: | [1]College of Information Science and Technology, Nanjing Forestry University, Nanjing 210037, China [2]Department of Mathematics, Southeast University, Nanjing 210096, China |
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| Abstract: | DBL（p, q, 1） random errors, nonlinear regression models, score test, heteroscedasticity, correlation |
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| Keywords: | DBL（p q 1） random errors nonlinear regression models score test heteroscedasticity correlation |
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