Goodness-of-fit testing the error distribution in multivariate indirect regression

DOI10.1214/19-EJS1591zbMATH Open1433.62117arXiv1812.02409MaRDI QIDQ2323938FDOQ2323938

Authors: Nicolai Bissantz, Justin Chown, Holger Dette 

Publication date: 13 September 2019

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: We propose a goodness-of-fit test for the distribution of errors from a multivariate indirect regression model. The test statistic is based on the Khmaladze transformation of the empirical process of standardized residuals. This goodness-of-fit test is consistent at the root-n rate of convergence, and the test can maintain power against local alternatives converging to the null at a root-n rate.

Full work available at URL: https://arxiv.org/abs/1812.02409

Recommendations

• Testing goodness of fit for the distribution of errors in multivariate linear models
• Omnibus tests for the error distribution in the linear regression model
• scientific article; zbMATH DE number 1293583
• Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
• Goodness-of-fit tests for the error distribution in nonparametric regression

zbMATH Keywords

hypothesis testingmultivariate regressioninverse problemsindirect regression

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) General nonlinear regression (62J02) Estimation in multivariate analysis (62H12) Fourier series and coefficients in several variables (42B05)

Cites Work

• Martingale Approach in the Theory of Goodness-of-Fit Tests
• Weak convergence and empirical processes. With applications to statistics
• Goodness-of-fit problem for errors in nonparametric regression: distribution free approach
• Model checks for regression: an innovation process approach
• Martingale transforms goodness-of-fit tests in regression models.
• Asymptotically distribution-free goodness-of-fit testing for tail copulas
• Tailor-made tests for goodness of fit to semiparametric hypotheses
• Weak convergence of the sample distribution function when parameters are estimated
• On the optimal rates of convergence for nonparametric deconvolution problems
• Contributions of empirical and quantile processes to the asymptotic theory of goodness-of-fit tests. (With comments)
• Non-parametric estimation of the residual distribution
• Title not available (Why is that?)
• Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
• General regularization schemes for signal detection in inverse problems
• Image deblurring with Poisson data: from cells to galaxies
• Title not available (Why is that?)
• Sharp adaptation for inverse problems with random noise
• Nonparametric statistical inverse problems
• Optimal bandwidth selection in nonparametric regression function estimation
• Approximation numbers of Sobolev embeddings-sharp constants and tractability
• An innovation approach to goodness-of-fit tests in \(R^ m\)
• On distribution-free goodness-of-fit testing of exponentiality
• Smooth backfitting in additive inverse regression
• Statistical Inverse Estimation in Hilbert Scales
• Wavelet Deconvolution in a Periodic Setting
• Estimating the error distribution function in semiparametric additive regression models
• Estimating the error distribution in nonparametric multiple regression with applications to model testing
• The Cramer-Smirnov Test in the Parametric Case
• Statistical inference for inverse problems
• Testing for lack of fit in inverse regression-with applications to biophotonic imaging
• Generalized martingale-residual processes for goodness-of-fit inference in Cox's type regression models
• Conditional variance model checking
• Multivariate density estimation with general flat-top kernels of infinite order
• Fredholm Determinant of a Positive Definite Kernel of a Special Type and Its Application
• Confidence bands for inverse regression models
• Goodness-of-fit testing of error distribution in linear measurement error models
• Confidence bands for multivariate and time dependent inverse regression models

Cited In (5)

• Title not available (Why is that?)
• Testing goodness of fit for the distribution of errors in multivariate linear models
• Goodness-of-fit testing strategies from indirect observations
• Goodness-of-fit tests for multiple regression with circular response
• Title not available (Why is that?)

This page was built for publication: Goodness-of-fit testing the error distribution in multivariate indirect regression

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2323938)