Model checks for regression: An innovation process approach

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	Model checks for regression: An innovation process approach
	Stute, W ; Thies, S ; Zhu, LX
	1998-10-01
发表期刊	ANNALS OF STATISTICS
ISSN	0090-5364
卷号	26 期号:5 页码:1916-1934
摘要	In the context of regression analysis it is known that the residual cusum process may serve as a basis for the construction of various omnibus, smooth and directional goodness-of-fit tests. Since a deeper analysis requires the decomposition of the cusums into their principal components and this is difficult to obtain, we propose to replace this process by its innovation martingale. It turns out that the resulting tests are (asymptotically) distribution free under composite null models and may be readily performed. A simulation study is included which indicates that the distributional approximations already work for small to moderate sample sizes.
关键词	residual cusum process innovation process goodness-of-fit tests
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000079135700012
出版者	INST MATHEMATICAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/13386
专题	中国科学院数学与系统科学研究院
通讯作者	Stute, W
作者单位	1.Univ Giessen, Inst Math, D-35392 Giessen, Germany 2.Chinese Acad Sci, Inst Appl Math, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Stute, W,Thies, S,Zhu, LX. Model checks for regression: An innovation process approach[J]. ANNALS OF STATISTICS,1998,26(5):1916-1934.
APA	Stute, W,Thies, S,&Zhu, LX.(1998).Model checks for regression: An innovation process approach.ANNALS OF STATISTICS,26(5),1916-1934.
MLA	Stute, W,et al."Model checks for regression: An innovation process approach".ANNALS OF STATISTICS 26.5(1998):1916-1934.