A new test for the parametric form of the variance function in non-parametric regression
In the common non-parametric regression model the problem of testing for the parametric form of the conditional variance is considered. A stochastic process based on the difference between the empirical processes that are obtained from the standardized non-parametric residuals under the null hypothesis (of a specific parametric form of the variance function) and the alternative is introduced and its weak convergence established. This result is used for the construction of a Kolmogorov-Smirnov and a Cramér-von Mises type of statistic for testing the parametric form of the conditional variance. The consistency of a bootstrap approximation is established, and the finite sample properties of this approximation are investigated by means of a simulation study. In particular the new procedure is compared with some of the currently available methods for this problem. Copyright 2007 Royal Statistical Society.
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Volume (Year): 69 (2007)
Issue (Month): 5 ()
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