A lack-of-fit test for quantile regression

doi:10.1198/016214503000000963

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	A lack-of-fit test for quantile regression
	He, XM ; Zhu, LX
	2003-12-01
发表期刊	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
ISSN	0162-1459
卷号	98 期号:464 页码:1013-1022
摘要	We propose an omnibus lack-of-fit test for linear or nonlinear quantile regression based on a cusum process of the gradient vector. The test does not involve nonparametric smoothing but is consistent for all nonparametric alternatives without any moment conditions on the regression error. In addition, the test is suitable for detecting the local alternatives of any order arbitrarily close to n(-1/2) from the null hypothesis. The limiting distribution of the proposed test statistic is non-Gaussian but can be characterized by a Gaussian process. We propose a simple sequential resampling scheme to carry out the test whose nominal levels are well approximated in our empirical study for small and modest sample sizes.
关键词	consistency cusum process empirical process goodness-of fit linear regression local alternative resampling
DOI	10.1198/016214503000000963
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000188318600026
出版者	AMER STATISTICAL ASSOC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/19065
专题	中国科学院数学与系统科学研究院
通讯作者	He, XM
作者单位	1.Univ Illinois, Dept Stat, Champaign, IL 61820 USA 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	He, XM,Zhu, LX. A lack-of-fit test for quantile regression[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2003,98(464):1013-1022.
APA	He, XM,&Zhu, LX.(2003).A lack-of-fit test for quantile regression.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,98(464),1013-1022.
MLA	He, XM,et al."A lack-of-fit test for quantile regression".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 98.464(2003):1013-1022.