Specification testing in semi-parametric transformation models

DOI10.1007/S11749-021-00756-0MaRDI QIDQ2074685zbMATH OpenOpenAlexFDO

Authors Nick Kloodt, Natalie Neumeyer, Ingrid Van Keilegom

Publication date 10 February 2022

Published in Test (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1907.01223

zbMATH Keywords

bootstrapgoodness-of-fit testnonparametric regressionnonparametric transformation estimatorparametric transformation classU-statistics

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10)

Abstract: In transformation regression models the response is transformed before fitting a regression model to covariates and transformed response. We assume such a model where the errors are independent from the covariates and the regression function is modeled nonparametrically. We suggest a test for goodness-of-fit of a parametric transformation class based on a distance between a nonparametric transformation estimator and the parametric class. We present asymptotic theory under the null hypothesis of validity of the semi-parametric model and under local alternatives. A bootstrap algorithm is suggested in order to apply the test. We also consider relevant hypotheses to distinguish between large and small distances of the parametric transformation class to the `true' transformation.

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Cited in

(11)

• Testing the adequacy of semiparametric transformation models
• Tests for validity of the semiparametric heteroskedastic transformation model
• Specification tests in semiparametric transformation models -- a multiplier bootstrap approach
• Model specification test in a semiparametric regression model for longitudinal data
• Goodness-of-fit tests in semiparametric transformation models
• GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
• Independence tests in semiparametric transformation models
• Specification testing for transformation models with an application to generalized accelerated failure-time models
• Heteroscedastic semiparametric transformation models: estimation and testing for validity
• Rank-Based Greedy Model Averaging for High-Dimensional Survival Data
• Goodness-of-fit tests in semi-linear models

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