Testing for a constant coefficient of variation in nonparametric regression
From MaRDI portal
Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Abstract: In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the -distance between the square of the regression function and variance function. We prove asymptotic normality of a standardized estimate of this distance under the null hypothesis and fixed alternatives and the finite sample properties of a corresponding bootstrap test are investigated by means of a simulation study. The results are applicable to stationary processes with the common mixing conditions and are used to construct tests for ARCH assumptions in financial time series.
Recommendations
- Testing for a constant coefficient of variation in nonparametric regression by empirical processes
- Testing the constancy in varying-coefficient regression models
- Testing homoscedasticity in nonparametric regression
- A model specification test for the variance function in nonparametric regression
- Nonparametric tests for a change in the coefficient of variation
Cites work
- scientific article; zbMATH DE number 991833 (Why is no real title available?)
- scientific article; zbMATH DE number 3945130 (Why is no real title available?)
- scientific article; zbMATH DE number 3958501 (Why is no real title available?)
- scientific article; zbMATH DE number 42417 (Why is no real title available?)
- scientific article; zbMATH DE number 1086078 (Why is no real title available?)
- scientific article; zbMATH DE number 1515417 (Why is no real title available?)
- A central limit theorem for generalized quadratic forms
- A consistent test for heteroscedasticity in nonparametric regression based on the kernel method
- A consistent test of functional form via nonparametric estimation techniques
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Efficient estimation of conditional variance functions in stochastic regression
- Local nonlinear least squares: using parametric information in nonparametric regression
- On a test for a parametric form of volatility in continuous time financial models
- Some Methodological Aspects of Validation of Models in Nonparametric Regression
- Some comments on specification tests in nonparametric absolutely regular processes
- Testing multiplicative structures in strictly stationary processes.
- Testing the parametric structure of the variance function in non-parametric regression.
Cited in
(12)- Convergence rates for kernel regression in infinite-dimensional spaces
- Exploring the constant coefficient of a single-index variation
- A consistent nonparametric test on semiparametric smooth coefficient models with integrated time series
- Testing the constancy in varying-coefficient regression models
- Testing for a constant coefficient of variation in nonparametric regression by empirical processes
- Testing multiplicative structures in strictly stationary processes.
- Testing for constant variance in a linear model
- A new fluctuation test for constant variances with applications to finance
- Comments on: ``An updated review of goodness-of-fit tests for regression models
- scientific article; zbMATH DE number 815749 (Why is no real title available?)
- Testing the parametric form of the conditional variance in regressions based on distance covariance
- Nonparametric tests for a change in the coefficient of variation
This page was built for publication: Testing for a constant coefficient of variation in nonparametric regression
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2431725)
