| Testing heteroscedasticity in nonparametric regression models based on residual analysis |
| |
| 作者姓名： | ZHANG Lei MEI Chang-lin School of Science Xi’an Jiaotong University Xi’an China Xinhua News Agency Beijing China. School of Science Xi’an Jiaotong University Xi’an China. |
| |
| 作者单位： | [1]School of Science, Xi＇an Jiaotong University, Xi＇an 710049, China; Xinhua News Agency, Beijing100803, China [2]School of Science, Xi＇an Jiaotong University, Xi＇an 710049, China |
| |
| 摘 要： | The importance of detecting heteroscedasticity in regression analysis is widely recognized because efficient inference for the regression function requires that heteroscedasticity should be taken into account. In this paper, a simple test for heteroscedasticity is proposed in nonparametric regression based on residual analysis. Furthermore, some simulations with a comparison with Dette and Munk＇s method are conducted to evaluate the performance of the proposed test. The results demonstrate that the method in this paper performs quite satisfactorily and is much more powerful than Dette and Munk＇s method in some cases.
|
| 关 键 词： | 异方差性 非参数衰退 残差分析 非参数统计 |
Testing heteroscedasticity in nonparametric regression models based on residual analysis |
| |
| Lei Zhang,Chang-lin Mei.Testing heteroscedasticity in nonparametric regression models based on residual analysis[J].Applied Mathematics A Journal of Chinese Universities,2008,23(3):265-272. |
| |
| Authors: | Lei Zhang Chang-lin Mei |
| |
| Institution: | (1) School of Science, Xi’an Jiaotong University, Xi’an, 710049, China;(2) Xinhua News Agency, Beijing, 100803, China |
| |
| Abstract: | The importance of detecting heteroscedasticity in regression analysis is widely recognized because efficient inference for the regression function requires that heteroscedasticity should be taken into account. In this paper, a simple test for heteroscedasticity is proposed in nonparametric regression based on residual analysis. Furthermore, some simulations with a comparison with Dette and Munk's method are conducted to evaluate the performance of the proposed test. The results demonstrate that the method in this paper performs quite satisfactorily and is much more powerful than Dette and Munk's method in some cases. |
| |
| Keywords: | heteroscedasticity nonparametric regression residual analysis |
| 本文献已被 CNKI 维普 万方数据 SpringerLink 等数据库收录！ |
