Testing against a linear regression model using ideas from shape-restricted estimation

DOI10.1111/RSSB.12178MaRDI QIDQ5381085zbMATH OpenOpenAlexFDO

Authors

Publication date 7 June 2019

Published in Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1311.6849

zbMATH Keywords

additive modelasymptotic powerclosed convex coneconvex regressiondouble conemonotone functionnon-parametric likelihood ratio testpartial linear modelprojectionunbiased test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

Abstract: A formal likelihood ratio hypothesis test for the validity of a parametric regression function is proposed, using a large-dimensional, nonparametric double cone alternative. For example, the test against a constant function uses the alternative of increasing or decreasing regression functions, and the test against a linear function uses the convex or concave alternative. The proposed test is exact, unbiased and the critical value is easily computed. The power of the test increases to one as the sample size increases, under very mild assumptions -- even when the alternative is mis-specified. That is, the power of the test converges to one for any true regression function that deviates (in a non-degenerate way) from the parametric null hypothesis. We also formulate tests for the linear versus partial linear model, and consider the special case of the additive model. Simulations show that our procedure behaves well consistently when compared with other methods. Although the alternative fit is non-parametric, no tuning parameters are involved.

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Cited in

(18)

• Nonparametric shape-restricted regression
• A framework for estimation and inference in generalized additive models with shape and order restrictions
• Sample selection models with monotone control functions
• High-dimensional asymptotics of likelihood ratio tests in the Gaussian sequence model under convex constraints
• Testing for a functional form of mean regression in a fully parametric environment
• On Degrees of Freedom of Projection Estimators With Applications to Multivariate Nonparametric Regression
• Testing Whether One Regression Function is Larger Than Another
• Testing linear restrictions on non-linear models
• The exact power function of an exact test of a regression model against multiple separate alternatives
• A test for linear versus convex regression function using shape-restricted regression
• Improved power of one-sided tests
• Testing linear restrictions in linear models with empirical likelihood
• Testing for and against a concavity restriction with normal errors
• A data efficient and feasible level set method for stochastic convex optimization with expectation constraints
• A new test of linear hypothesis in regression
• The geometry of hypothesis testing over convex cones: generalized likelihood ratio tests and minimax radii
• Statistical inference for partially shape-constrained function-on-scalar linear regression models
• A test for the parametric form of the variance function in a partial linear regression model

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