On Hadamard differentiability in k-sample semiparametric models--with applications to the assessment of structural relationships

Gudrun Freitag and Axel Munk

Journal of Multivariate Analysis, 2005, vol. 94, issue 1, 123-158

Abstract: Semiparametric models to describe the functional relationship between k groups of observations are broadly applied in statistical analysis, ranging from nonparametric ANOVA to proportional hazard (ph) rate models in survival analysis. In this paper we deal with the empirical assessment of the validity of such a model, which will be denoted as a "structural relationship model". To this end Hadamard differentiability of a suitable goodness-of-fit measure in the k-sample case is proved. This yields asymptotic limit laws which are applied to construct tests for various semiparametric models, including the Cox ph model. Two types of asymptotics are obtained, first when the hypothesis of the semiparametric model under investigation holds true, and second for the case when a fixed alternative is present. The latter result can be used to validate the presence of a semiparametric model instead of simply checking the null hypothesis "the model holds true". Finally, various bootstrap approximations are numerically investigated and a data example is analyzed.

Keywords: Semiparametric; model; Hadamard; differentiability; Quadratic; differentiability; Weak; convergence; k-sample; problem; Goodness-of-fit; Proportional; hazard; rates; Nonlinear; approximation; Multivariate; empirical; process (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (4)

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