頁籤選單縮合
題名 | Nonparametric Test for the Form of Parametric Regression with Time Series Errors |
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作者 | Wang, Lan; Keilegom, Ingrid Van; | 書刊名 | Statistica Sinica |
卷期 | 17:1 2007.01[民96.01] |
頁次 | 頁369-386 |
分類號 | 319.5 |
關鍵詞 | Bootstrap; Correlated errors; Goodness-of-fit test; Lack-of-fit test; Nearest-neighbor windows; Nonparametric regression; Residual; Time-series errors; Trend; |
語文 | 英文(English) |
英文摘要 | We propose a new nonparametric method for testing the parametric form of a regression function in the presence of time series errors. The test is motivated by recent advancement in this theory of ANOVA with large number of factor levels and also utilizes a new difference-based estimation method in nonparametric regression with time-series errors proposed by Hall and Van Keilegom (2003). The test statistic is asymptotically normal under the null and local alternative hypotheses. We also propose a bootstrap method to calculate the critical values and prove its consistency. In a Monte Carlo study, we demonstrate that this bootstrap procedure has good properties for moderate sample size. |
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