Testing for a constant coefficient of variation in nonparametric regression by empirical processes

Holger Dette (), Mareen Marchlewski and Jens Wagener

Annals of the Institute of Statistical Mathematics, 2012, vol. 64, issue 5, 1045-1070

Abstract: In the common nonparametric regression model, we consider the problem of testing the hypothesis that the coefficient of the scale and location function is constant. The test is based on a comparison of the standardized (by a local linear estimate of the scale function) observations with their mean. We show weak convergence of a centered version of this process to a Gaussian process under the null hypothesis and the alternative and use this result to construct a test for the hypothesis of a constant coefficient of variation in the nonparametric regression model. A small simulation study is also presented to investigate the finite sample properties of the new test. Copyright The Institute of Statistical Mathematics, Tokyo 2012

Keywords: Nonparametric regression; Test for constant coefficient of variation; Empirical process (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10463-011-0346-5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:64:y:2012:i:5:p:1045-1070

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-011-0346-5

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().