On tests for normality of experimental error in ridge regression

DOI10.1016/0378-3758(84)90011-9MaRDI QIDQ2266544zbMATH OpenOpenAlexWikidataFDO

Authors Constance L. Wood

Publication date 1984

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0378-3758(84)90011-9

zbMATH Keywords

empirical distributiongoodness-of-fit testsridge regressiontests for normality of the errors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Ridge regression; shrinkage estimators (Lasso) (62J07)

Review text

Considered are tests for normality of the errors in ridge regression. If an intercept is included in the model, it is shown that test statistics based on the empirical distribution function of the ridge residuals have the same limiting distribution as in the one-sample test for normality with estimated mean and variance. The result holds with weak assumptions on the behavior of the independent variables; asymptotic normality of the ridge estimator is not required.

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Cites work

• Testing goodness of fit for the distribution of errors in regression models
• Testing Normality in One-Dimensional and Multi-Dimensional Linear Regression
• The empirical distribution function of residuals from generalised regression
• Weak convergence of empirical distribution functions of random variables subject to perturbations and scale factors
• Weak convergence of the sample distribution function when parameters are estimated

Cited in

(5)

• Testing the normality of errors in regression models with a forward approach
• Empirical process based on the recursive residuals in functional measurement error models
• Tests of regression coefficients under ridge regression models
• Sensitivity analysis of the Jarque-Bera and Lilliefors normality tests in linear regression models
• The general linear test in the ridge regression

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