Empirical likelihood based diagnostics for heteroscedasticity in partial linear models

doi:10.1016/j.csda.2009.02.029

CSpace > 应用数学研究所

	Empirical likelihood based diagnostics for heteroscedasticity in partial linear models
	Wong, Heung 1; Liu, Feng 2; Chen, Min3 ; Ip, Wai Cheung 1
	2009-07-01
发表期刊	COMPUTATIONAL STATISTICS & DATA ANALYSIS
ISSN	0167-9473
卷号	53 期号:9 页码:3466-3477
摘要	In this paper, we propose a diagnostic technique for checking heteroscedasticity based on empirical likelihood for the partial linear models. We construct an empirical likelihood ratio test for heteroscedasticity. Also, under mild conditions, a nonparametric version of Wilk's theorem is derived, which says that our proposed test has an asymptotic chi-square distribution. Simulation results reveal that the finite sample performance of our proposed test is satisfactory in both size and power. An empirical likelihood bootstrap simulation is also conducted to overcome the size distortion in small sample sizes. (C) 2009 Elsevier B.V. All rights reserved.
DOI	10.1016/j.csda.2009.02.029
语种	英语
资助项目	AMSS-PolyU ; Science and Technology Project[KJ 080609] ; National Key Basic Research Program of China[2007CB814902] ; National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[10628104] ; National Natural Science Foundation of China[10721101] ; Research Committee of the Hong Kong Polytechnic University
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000266381800018
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8553
专题	应用数学研究所
通讯作者	Wong, Heung
作者单位	1.Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China 2.Chongqing Inst Technol, Dept Stat, Chongqing 400050, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Wong, Heung,Liu, Feng,Chen, Min,et al. Empirical likelihood based diagnostics for heteroscedasticity in partial linear models[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2009,53(9):3466-3477.
APA	Wong, Heung,Liu, Feng,Chen, Min,&Ip, Wai Cheung.(2009).Empirical likelihood based diagnostics for heteroscedasticity in partial linear models.COMPUTATIONAL STATISTICS & DATA ANALYSIS,53(9),3466-3477.
MLA	Wong, Heung,et al."Empirical likelihood based diagnostics for heteroscedasticity in partial linear models".COMPUTATIONAL STATISTICS & DATA ANALYSIS 53.9(2009):3466-3477.