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Specification Test For Conditional Distribution With Functional Data

Author

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  • Ferraty, Frederic
  • Quintela-del-Río, Alejandro
  • Vieu, Philippe

Abstract

In this paper we construct a statistic to test a specific form of the conditional density function. The main point of this work is to consider a functional explanatory variable, and the statistic is constructed following recent advances in nonparametric functional data analysis. The asymptotic behavior of the test statistic is studied under both the null hypothesis and some local alternative hypothesis. Then, the finite sample behavior of the method is studied through simulated examples. This paper is one of the first in the setting of nonparametric specification tests when functional data are involved.

Suggested Citation

  • Ferraty, Frederic & Quintela-del-Río, Alejandro & Vieu, Philippe, 2012. "Specification Test For Conditional Distribution With Functional Data," Econometric Theory, Cambridge University Press, vol. 28(2), pages 363-386, April.
    • Handle: RePEc:cup:etheor:v:28:y:2012:i:02:p:363-386_00
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    Cited by:

    1. Kemp, Gordon C.R. & Santos Silva, J.M.C., 2012. "Regression towards the mode," Journal of Econometrics, Elsevier, vol. 170(1), pages 92-101.
    2. Rachdi, Mustapha & Laksaci, Ali & Demongeot, Jacques & Abdali, Abdel & Madani, Fethi, 2014. "Theoretical and practical aspects of the quadratic error in the local linear estimation of the conditional density for functional data," Computational Statistics & Data Analysis, Elsevier, vol. 73(C), pages 53-68.
    3. Malec, Peter & Schienle, Melanie, 2014. "Nonparametric kernel density estimation near the boundary," Computational Statistics & Data Analysis, Elsevier, vol. 72(C), pages 57-76.

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