Martingale transforms goodness-of-fit tests in regression models.

DOI10.1214/009053604000000274zbMath1092.62052arXivmath/0406518MaRDI QIDQ1879928

Hira L. Koul, Estate V. Khmaladze

Publication date: 15 September 2004

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0406518

zbMATH Keywords

asymptotically distribution free; partial sum processes

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62G10: Nonparametric hypothesis testing

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G20: Asymptotic properties of nonparametric inference

65C05: Monte Carlo methods

60G44: Martingales with continuous parameter

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Testing conditional symmetry without smoothing, Omnibus tests for the error distribution in the linear regression model, Goodness of fit tests for a class of Markov random field models, Jackknife empirical likelihood tests for error distributions in regression models, Distribution-free test in Tobit mean regression model, Tests for the error distribution in nonparametric possibly heteroscedastic regression models, A lack-of-fit test in Tobit errors-in-variables regression models, Estimating the error distribution function in semiparametric additive regression models, Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing, Distribution free goodness-of-fit tests for linear processes, Distribution-free lack-of-fit tests in balanced mixed models, Weak convergence of non-stationary multivariate marked processes with applications to martingale testing, Goodness-of-fit problem for errors in nonparametric regression: distribution free approach, Weighted resampling of martingale difference arrays with applications, Regression model checking with Berkson measurement errors, Goodness-of-fit testing in regression: a finite sample comparison of bootstrap methodology and Khmaladze transformation, Conditional variance model checking, Goodness-of-fit test for a nonlinear time series, Asymptotically Distribution-Free Goodness-of-Fit Testing: A Unifying View, BOOTSTRAP TESTS FOR THE ERROR DISTRIBUTION IN LINEAR AND NONPARAMETRIC REGRESSION MODELS, A bootstrap version of the residual-based smooth empirical distribution function

Uses Software

• GofKmt

Cites Work

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