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

Related Items

Omnibus tests for the error distribution in the linear regression model, Tests for the error distribution in nonparametric possibly heteroscedastic 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, 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

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Goodness of fit problem and scanning innovation martingales
• Testing the (parametric) null model hypothesis in (semiparametric) partial and generalized spline models
• The empirical distribution function of residuals from generalised regression
• A weak convergence result useful in robust autoregression
• Testing goodness-of-fit in regression via order selection criteria
• Comparing nonparametric versus parametric regression fits
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Nonparametric model checks for regression
• Nonparametric smoothing and lack-of-fit tests
• Minimum distance regression model checking
• Weighted empirical processes in dynamic nonlinear models.
• Model checks for regression: an innovation process approach
• Nonparametric model checks for time series
• Weak convergence and empirical processes. With applications to statistics
• Asymptotics of some estimators and sequential residual empiricals in nonlinear time series
• Calculation of noncrossing probabilities for Poisson processes and its corollaries
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques
• Bootstrap Approximations in Model Checks for Regression
• The Use of $\omega ^2 $ Tests for Testing Parametric Hypotheses
• A Kolmogorov-Smirnov Type Statistic with Application to Test for Nonlinearity in Time Series
• Chi-Square Test for Continuous Distributions with Shift and Scale Parameters
• Model Checks for Generalized Linear Models
• Commonality of cusum, von Neumann and smoothing-based goodness-of-fit tests
• Inference on the Quantile Regression Process