The Annals of Statistics

Martingale transforms goodness-of-fit tests in regression models

Abstract

This paper discusses two goodness-of-fit testing problems. The first problem pertains to fitting an error distribution to an assumed nonlinear parametric regression model, while the second pertains to fitting a parametric regression model when the error distribution is unknown. For the first problem the paper contains tests based on a certain martingale type transform of residual empirical processes. The advantage of this transform is that the corresponding tests are asymptotically distribution free. For the second problem the proposed asymptotically distribution free tests are based on innovation martingale transforms. A Monte Carlo study shows that the simulated level of the proposed tests is close to the asymptotic level for moderate sample sizes.

Article information

Source
Ann. Statist. Volume 32, Number 3 (2004), 995-1034.

Dates
First available in Project Euclid: 24 May 2004

http://projecteuclid.org/euclid.aos/1085408493

Digital Object Identifier
doi:10.1214/009053604000000274

Mathematical Reviews number (MathSciNet)
MR2065196

Zentralblatt MATH identifier
02100791

Subjects
Primary: 62G10: Hypothesis testing
Secondary: 62J02: General nonlinear regression

Citation

Khmaladze, Estate V.; Koul, Hira L. Martingale transforms goodness-of-fit tests in regression models. Ann. Statist. 32 (2004), no. 3, 995--1034. doi:10.1214/009053604000000274. http://projecteuclid.org/euclid.aos/1085408493.

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