Testing for No Effect by Cosine Series Methods

R. L. Eubank

Scandinavian Journal of Statistics, 2000, vol. 27, issue 4, 747-763

Abstract: The properties of three lack‐of‐fit tests that are related to non‐parametric cosine regression analysis are examined in the context of testing for a constant mean function. Analytic power comparisons of these tests vs a most powerful test are made using intermediate asymptotic relative efficiency. In particular, a data‐driven test is produced which is asymptotically as efficient as the most powerful test over a class of alternatives. A small scale simulation experiment is conducted to ascertain the extent that the large sample comparisons are applicable to finite samples.

Date: 2000
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