Regression rank scores in nonlinear models

DOI10.1214/193940307000000121arXiv0805.2300MaRDI QIDQ6209529FDOQ6209529

Jana Jurečková

Publication date: 15 May 2008

Abstract: Consider the nonlinear regression model $$ heta$)+e_i,quadi=1,\mathrm{...},n$(1) with $$ $$Theta${\displaystyle }$ (compact in $mathbb{R}^{p+1}$), where $$ heta$$ is continuous, twice differentiable in $$ heta${\displaystyle }$ and monotone in components of $$ heta${\displaystyle }$. Following Gutenbrunner and Jurev{c}kov'{a} (1992) and Jurev{c}kov'{a} and Proch'{a}zka (1994), we introduce regression rank scores for model (1), and prove their asymptotic properties under some regularity conditions. As an application, we propose some tests in nonlinear regression models with nuisance parameters.

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) General nonlinear regression (62J02)

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