A robust adaptive-to-model enhancement test for parametric single-index models
Cuizhen Niu () and
Lixing Zhu ()
Additional contact information
Cuizhen Niu: Beijing Normal University
Lixing Zhu: Beijing Normal University
Annals of the Institute of Statistical Mathematics, 2018, vol. 70, issue 5, 1013-1045
Abstract This paper is devoted to test the parametric single-index structure of the underlying model when there are outliers in observations. First, a test that is robust against outliers is suggested. The Hampel’s second-order influence function of the test statistic is proved to be bounded. Second, the test fully uses the dimension reduction structure of the hypothetical model and automatically adapts to alternative models when the null hypothesis is false. Thus, the test can greatly overcome the dimensionality problem and is still omnibus against general alternative models. The performance of the test is demonstrated by both Monte Carlo simulation studies and an application to a real dataset.
Keywords: Bounded influence function; Dimension reduction; Model checking; Omnibus property; Robust adaptive-to-model test (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://link.springer.com/10.1007/s10463-017-0626-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:70:y:2018:i:5:d:10.1007_s10463-017-0626-9
Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2
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 ().