Abstract
Consider the nonlinear regression model
Yi=g(xi, θ)+ei, i=1, …, n
with xi∈ℝk, θ=(θ0, θ1, …, θp)′∈Θ (compact in ℝp+1), where g(x, θ)=θ0+g̃(x, θ1, …, θp) is continuous, twice differentiable in θ and monotone in components of θ. Following Gutenbrunner and Jurečková (1992) and Jurečková and Procházka (1994), we introduce regression rank scores for model (1), and prove their asymptotic properties under some regularity conditions. As an application, we propose some tests in nonlinear regression models with nuisance parameters.
Information
Digital Object Identifier: 10.1214/193940307000000121