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Abstract:
We consider a problem of checking whether the coefficient of the scale and location function is a constant. Both the scale and location functions are modeled as single-index models. Two test statistics based on Kolmogorov-Smirnov and Cramer-von Mises type functionals of the difference of the empirical residual processes are proposed. The asymptotic distribution of the estimator for single-index parameter is derived, and the empirical distribution function of residuals is shown to converge to a Gaussian process. Moreover, the proposed test statistics can be able to detect local alternatives that converge to zero at a parametric convergence rate. A bootstrap procedure is further proposed to calculate critical values. Simulation studies and a real data analysis are conducted to demonstrate the performance of the proposed methods.
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BRAZILIAN JOURNAL OF PROBABILITY AND STATISTICS
ISSN: 0103-0752
Year: 2019
Issue: 1
Volume: 33
Page: 57-86
1 . 0 0 0
JCR@2022
ESI Discipline: MATHEMATICS;
ESI HC Threshold:54
Cited Count:
WoS CC Cited Count: 5
SCOPUS Cited Count: 5
ESI Highly Cited Papers on the List: 0 Unfold All
WanFang Cited Count:
Chinese Cited Count:
30 Days PV: 1
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