A simple test for the parametric form of the variance function in nonparametric regression

DOI10.1007/S10463-008-0169-1zbMATH Open1332.62131OpenAlexW1984262719MaRDI QIDQ904052FDOQ904052

Authors: Benjamin Hetzler, Holger Dette 

Publication date: 15 January 2016

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/21755

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zbMATH Keywords

bootstrapnonparametric regressionempirical processhomoscedasticitygoodness-of-fit testingpseudo residuals

Mathematics Subject Classification ID

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

Cites Work

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• Testing homoscedasticity in nonparametric regression
• Testing the Goodness of Fit of Parametric Regression Models with Random Toeplitz Forms
• On robust tests for heteroscedasticity
• Heteroscedastic regression in computer vision: Problems with bilinear constraint

Cited In (27)

• Distribution-free testing in linear and parametric regression
• Distribution-free tests of conditional moment inequalities
• A nonparametric hypothesis test for heteroscedasticity
• Testing a parametric function against a non‐parametric alternative in IV and GMM settings
• A consistent test for heteroscedasticity in semi-parametric regression with nonparametric variance function based on the kernel method
• On a semiparametric variance function model and a test for heteroscedasticity
• Conditional variance model checking
• Empirical smoothing lack-of-fit tests for variance function
• Testing linear regression models in non regular case
• Estimating the conditional error distribution in non-parametric regression
• Bandwidth choice for robust nonparametric scale function estimation
• Scale checks in censored regression
• A test for the parametric form of the variance function in a partial linear regression model
• On the choice of difference sequence in a unified framework for variance estimation in nonparametric regression
• Non‐parametric Analysis of Covariance – The Case of Inhomogeneous and Heteroscedastic Noise
• On a robust local estimator for the scale function in heteroscedastic nonparametric regression
• Tests for the equality of conditional variance functions in nonparametric regression
• Testing for a constant coefficient of variation in nonparametric regression by empirical processes
• Testing the parametric structure of the variance function in non-parametric regression.
• Test for heteroscedasticity in partially linear regression models
• Testing for superiority between two variance functions
• Minimum distance conditional variance function checking in heteroscedastic regression models
• A fully nonparametric diagnostic test for homogeneity of variances
• A robust test for homoscedasticity in nonparametric regression
• Evaluating the adequacy of variance function using pairwise distances
• Khmaladze transformation of integrated variance processes with applications to goodness-of-fit testing
• A model specification test for the variance function in nonparametric regression

Uses Software

• nlmdl

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