Goodness-of-fit tests for parametric regression models based on empirical characteristic functions

Marie Hušková; Simon G. Meintanis

Kybernetika (2009)

  • Volume: 45, Issue: 6, page 960-971
  • ISSN: 0023-5954

Abstract

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Test procedures are constructed for testing the goodness-of-fit in parametric regression models. The test statistic is in the form of an L2 distance between the empirical characteristic function of the residuals in a parametric regression fit and the corresponding empirical characteristic function of the residuals in a non-parametric regression fit. The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated. Theoretical results are accompanied by a simulation study.

How to cite

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Hušková, Marie, and Meintanis, Simon G.. "Goodness-of-fit tests for parametric regression models based on empirical characteristic functions." Kybernetika 45.6 (2009): 960-971. <http://eudml.org/doc/37688>.

@article{Hušková2009,
abstract = {Test procedures are constructed for testing the goodness-of-fit in parametric regression models. The test statistic is in the form of an L2 distance between the empirical characteristic function of the residuals in a parametric regression fit and the corresponding empirical characteristic function of the residuals in a non-parametric regression fit. The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated. Theoretical results are accompanied by a simulation study.},
author = {Hušková, Marie, Meintanis, Simon G.},
journal = {Kybernetika},
keywords = {empirical characteristic function; kernel regression estimators; empirical characteristic function; kernel regression estimators},
language = {eng},
number = {6},
pages = {960-971},
publisher = {Institute of Information Theory and Automation AS CR},
title = {Goodness-of-fit tests for parametric regression models based on empirical characteristic functions},
url = {http://eudml.org/doc/37688},
volume = {45},
year = {2009},
}

TY - JOUR
AU - Hušková, Marie
AU - Meintanis, Simon G.
TI - Goodness-of-fit tests for parametric regression models based on empirical characteristic functions
JO - Kybernetika
PY - 2009
PB - Institute of Information Theory and Automation AS CR
VL - 45
IS - 6
SP - 960
EP - 971
AB - Test procedures are constructed for testing the goodness-of-fit in parametric regression models. The test statistic is in the form of an L2 distance between the empirical characteristic function of the residuals in a parametric regression fit and the corresponding empirical characteristic function of the residuals in a non-parametric regression fit. The asymptotic null distribution as well as the behavior of the test statistic under contiguous alternatives is investigated. Theoretical results are accompanied by a simulation study.
LA - eng
KW - empirical characteristic function; kernel regression estimators; empirical characteristic function; kernel regression estimators
UR - http://eudml.org/doc/37688
ER -

References

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