| 单指标模型的异方差检验的渐近性质 |
| |
| 引用本文： | 张霞峰,朱仲义.单指标模型的异方差检验的渐近性质[J].工程数学学报,2007,24(2):292-302. |
| |
| 作者姓名： | 张霞峰 朱仲义 |
| |
| 作者单位： | 1. 华东师范大学统计系,上海,20062
2. 华东师范大学统计系,上海,20062;复旦大学统计学系,上海,200433 |
| |
| 摘 要： | 在回归分析中,通常假定方差齐性。在参数和非参数回归模型中,关于方差齐性的检验问题都有很多的研究。本文利用P-样条方法,研究了单指标模型的异方差问题、一阶自回归问题,给出了异方差问题、一阶自回归问题Score检验统计量的大样本性质。
|
| 关 键 词： | X2分布 异方差 一阶自回归 Score检验 单指标模型 P-样条 |
| 文章编号： | 1005-3085(2007)02-0292-11 |
| 修稿时间： | 2005-05-09 |
Asymptotic Property of Testing for Heteroscedasticity in Single Index Models |
| |
| ZHANG Xia-feng,ZHU Zhong-yi.Asymptotic Property of Testing for Heteroscedasticity in Single Index Models[J].Chinese Journal of Engineering Mathematics,2007,24(2):292-302. |
| |
| Authors: | ZHANG Xia-feng ZHU Zhong-yi |
| |
| Affiliation: | 1- Department of Statistics, East China Normal University, Shanghai 200062; 2- Department of Statistics, Fudan University, Shanghai 200433 |
| |
| Abstract: | The assumption of homoscedasticity is commonly concerned in regression analysis. In parametric and nonparametric regression models, the problem of testing heteroscedasticity, autocorrelation in the linear models has been discussed. In this paper, the testing for heteroscedasticity and autocorrelation is researched for single index models. The score tests are obtained, respectively, under two different occasions. Moreover, we establish the asymptotic property of the test. Simulations show the feasibility and validity of our methods. |
| |
| Keywords: | X2 distribution autocorrelation homoscedasticity score testing P-spline single index model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
|
