Adaptive goodness-of-fit tests based on signed ranks
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Publication:930659
DOI10.1214/009053607000000992zbMATH Open1216.62069arXiv0806.2985OpenAlexW3104395848MaRDI QIDQ930659FDOQ930659
Publication date: 1 July 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Abstract: Within the nonparametric regression model with unknown regression function and independent, symmetric errors, a new multiscale signed rank statistic is introduced and a conditional multiple test of the simple hypothesis against a nonparametric alternative is proposed. This test is distribution-free and exact for finite samples even in the heteroscedastic case. It adapts in a certain sense to the unknown smoothness of the regression function under the alternative, and it is uniformly consistent against alternatives whose sup-norm tends to zero at the fastest possible rate. The test is shown to be asymptotically optimal in two senses: It is rate-optimal adaptive against H"{o}lder classes. Furthermore, its relative asymptotic efficiency with respect to an asymptotically minimax optimal test under sup-norm loss is close to 1 in case of homoscedastic Gaussian errors within a broad range of H"{o}lder classes simultaneously.
Full work available at URL: https://arxiv.org/abs/0806.2985
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exponential inequalitysigned ranksrelative asymptotic efficiencysharp asymptotic adaptivityexact multiple testingmultiscale statistic
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35)
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- Optimal calibration for multiple testing against local inhomogeneity in higher dimension
- Optimal inference with a multidimensional multiscale statistic
- Optimal detection of multi-sample aligned sparse signals
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