A robust adaptive-to-model enhancement test for parametric single-index models

DOI10.1007/S10463-017-0626-9zbMATH Open1407.62064arXiv1510.03163OpenAlexW2240409752MaRDI QIDQ1786902FDOQ1786902

Li-Xing Zhu, Cuizhen Niu

Publication date: 25 September 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Abstract: In the research on checking whether the underlying model is of parametric single-index structure with outliers in observations, the purpose of this paper is two-fold. First, a test that is robust against outliers is suggested. The Hampel's second-order influence function of the test statistic is proved to be bounded. Second, the test fully uses the dimension reduction structure of the hypothetical model and automatically adapts to alternative models when the null hypothesis is false. Thus, the test can greatly overcome the dimensionality problem and is still omnibus against general alternative models. The performance of the test is demonstrated by both Monte Carlo simulation studies and an application to a real dataset.

Full work available at URL: https://arxiv.org/abs/1510.03163

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zbMATH Keywords

dimension reductionmodel checkingbounded influence functionomnibus propertyrobust adaptive-to-model test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (2)

• A Review on Dimension-Reduction Based Tests For Regressions
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Uses Software

• robustbase

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