The independence process in conditional quantile location-scale models and an application to testing for monotonicity

DOI10.5705/SS.2013.173MaRDI QIDQ4601255zbMATH OpenOpenAlexFDO

Authors Natalie Neumeyer, Stanislav Volgushev, Melanie Birke

Publication date 12 January 2018

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.07696

zbMATH Keywords

bootstrapKolmogorov-Smirnov testsequential empirical processmonotone rearrangementsnonparametric quantile regressionmodel testempirical independence processresidual processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20)

Abstract: In this paper the nonparametric quantile regression model is considered in a location-scale context. The asymptotic properties of the empirical independence process based on covariates and estimated residuals are investigated. In particular an asymptotic expansion and weak convergence to a Gaussian process are proved. The results can, on the one hand, be applied to test for validity of the location-scale model. On the other hand, they allow to derive various specification tests in conditional quantile location-scale models. In detail a test for monotonicity of the conditional quantile curve is investigated. For the test for validity of the location-scale model as well as for the monotonicity test smooth residual bootstrap versions of Kolmogorov-Smirnov and Cramer-von Mises type test statistics are suggested. We give rigorous proofs for bootstrap versions of the weak convergence results. The performance of the tests is demonstrated in a simulation study.

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Cited in

(9)

• Limit properties of the monotone rearrangement for density and regression function estimation
• Nonparametric conditional quantile estimation: a locally weighted quantile kernel approach
• Conditional Independence Specification Testing for Dependent Processes with Local Polynomial Quantile Regression
• A Smooth Nonparametric, Multivariate, Mixed-Data Location-Scale Test
• Specification testing in nonparametric AR‐ARCH models
• A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS
• Quantile regression in varying-coefficient models: non-crossing quantile curves and heteroscedasticity
• Computationally efficient approximations for independence tests in non-parametric regression
• Estimation and hypotheses testing in boundary regression models

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