Model checks for parametric regression models

• Autores: Eckhard Liebscher
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 21, Nº. 1, 2012, págs. 132-155
• Idioma: inglés
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• Resumen

  • In the paper we deal with the problem of model selection among fixed-design regression models. We establish a new test that indicates whether or not the model fits the data. The test statistic is based on the difference between a parametric estimator for the model variance and a nonparametric difference-based estimator, see Hall et al. (Biometrika 77:521–528, 1990). The weights in the nonparametric estimator depend on n, and they are chosen by solving an optimisation problem in order to obtain a test with high power.