A Test of U-type for Goodness-of-fit in Regression Models Through Martingale Difference Divergence

IF 0.9 4区 数学 Q3 MATHEMATICS, APPLIED
Kai Xu, Yan-qin Nie, Dao-jiang He
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引用次数: 0

Abstract

Based on the martingale difference divergence, a recently proposed metric for quantifying conditional mean dependence, we introduce a consistent test of U-type for the goodness-of-fit of linear models under conditional mean restriction. Methodologically, our test allows heteroscedastic regression models without imposing any condition on the distribution of the error, utilizes effectively important information contained in the distance of the vector of covariates, has a simple form, is easy to implement, and is free of the subjective choice of parameters. Theoretically, our mathematical analysis is of own interest since it does not take advantage of the empirical process theory and provides some insights on the asymptotic behavior of U-statistic in the framework of model diagnostics. The asymptotic null distribution of the proposed test statistic is derived and its asymptotic power behavior against fixed alternatives and local alternatives converging to the null at the parametric rate is also presented. In particular, we show that its asymptotic null distribution is very different from that obtained for the true error and their differences are interestingly related to the form expression for the estimated parameter vector embodied in regression function and a martingale difference divergence matrix. Since the asymptotic null distribution of the test statistic depends on data generating process, we propose a wild bootstrap scheme to approximate its null distribution. The consistency of the bootstrap scheme is justified. Numerical studies are undertaken to show the good performance of the new test.

通过马丁格尔差分对回归模型拟合优度的 U 型检验
马丁格尔差分是最近提出的一种量化条件均值依赖性的指标,基于马丁格尔差分,我们引入了一种一致的 U 型检验方法,用于检验条件均值限制下线性模型的拟合优度。从方法论上讲,我们的检验允许使用异方差回归模型,而无需对误差分布施加任何条件,有效利用了协变量向量距离中包含的重要信息,形式简单,易于实现,并且不受参数主观选择的影响。从理论上讲,我们的数学分析并没有利用经验过程理论,而是在模型诊断的框架内对 U 统计量的渐近行为提供了一些见解,因此具有一定的理论意义。我们推导出了所提出检验统计量的渐近空分布,并介绍了其针对固定替代方案和以参数速率收敛于空的局部替代方案的渐近幂行为。我们特别指出,它的渐近空分布与真实误差的渐近空分布截然不同,它们之间的差异与回归函数和马氏差分发散矩阵中包含的估计参数向量的形式表达有关。由于检验统计量的渐近零分布取决于数据生成过程,我们提出了一种野生引导方案来近似检验统计量的零分布。我们证明了自举方案的一致性。我们还进行了数值研究,以显示新检验的良好性能。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
1.30
自引率
0.00%
发文量
70
审稿时长
3.0 months
期刊介绍: Acta Mathematicae Applicatae Sinica (English Series) is a quarterly journal established by the Chinese Mathematical Society. The journal publishes high quality research papers from all branches of applied mathematics, and particularly welcomes those from partial differential equations, computational mathematics, applied probability, mathematical finance, statistics, dynamical systems, optimization and management science.
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