A loss function approach to model specification testing and its relative efficiency
From MaRDI portal
Publication:366964
DOI10.1214/13-AOS1099zbMath1293.62100arXiv1306.4864MaRDI QIDQ366964
Publication date: 25 September 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1306.4864
efficiencyloss functionkernelgeneralized likelihood ratio testsmoothing parameterlocal alternativePitman efficiency
Related Items
Multidimensional specification test based on non-stationary time series, A loss function approach to model specification testing and its relative efficiency, Nonparametric inference for additive models estimated via simplified smooth backfitting, False discovery rates for large-scale model checking under certain dependence, Goodness-of-fit testing of error distribution in linear measurement error models, Multiple-criteria fuzzy group decision-making with multi-choice goal programming for supplier selection: A case study, A NONPARAMETRIC TEST OF SIGNIFICANT VARIABLES IN GRADIENTS
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- A loss function approach to model specification testing and its relative efficiency
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- Testing for neglected nonlinearity in time series models. A comparison of neural network methods and alternative tests
- Minimax nonparametric hypothesis testing: The case of an inhomogeneous alternative
- Comparing nonparametric versus parametric regression fits
- Mixing: Properties and examples
- Asymptotically minimax hypothesis testing for nonparametric alternatives. I
- Asymptotically minimax hypothesis testing for nonparametric alternatives. II
- Asymptotically minimax hypothesis testing for nonparametric alternatives. III
- A power comparison between nonparametric regression tests.
- Bootstrap of kernel smoothing in nonlinear time series
- Generalized likelihood ratio statistics and Wilks phenomenon
- Nonlinear time series. Nonparametric and parametric methods
- Optimal monetary policy with a nonlinear Phillips curve
- Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
- WEIGHTED LEAST ABSOLUTE DEVIATIONS ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE
- Maximum Likelihood: An Introduction
- Approximation Theorems of Mathematical Statistics
- A Look at Some Data on the Old Faithful Geyser
- Bayesian Estimation and Prediction Using Asymmetric Loss Functions
- On the use of nonparametric regression for model checking
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Nonparametric statistics for testing of linearity and serial independence
- A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Functional-Coefficient Regression Models for Nonlinear Time Series
- Consistent Specification Testing Via Nonparametric Series Regression
- Econometric Model Determination
- Tests of Conditional Predictive Ability
- Bandwidth Selection in Nonparametric Kernel Testing
- Optimal Bandwidth Selection in Heteroskedasticity–Autocorrelation Robust Testing
- Generalised likelihood ratio tests for spectral density
- Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form
- Consistent Nonparametric Entropy-Based Testing
- Nonparametric Inferences for Additive Models
- Maximum Likelihood Estimation of Misspecified Models