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Generalized Analysis-of-variance-type Test for the Single-index Quantile Model
Authors:Rong Jiang  Zhan-Gong Zhou  Wei-Min Qian
Affiliation:1. Department of Mathematics, Donghua University, Shanghai, China jrtrying@126.com;3. Nanhu College, Jiaxing University, Jiaxing, China;4. Department of Mathematics, Tongji University, Shanghai, China
Abstract:
In this paper, we are concerned with a test for the index parameter and index function in the single-index model. Based on the estimates obtained by the quantile regression, we extend the generalized analysis-of-variance-type test to the single-index model. We investigate the asymptotic behavior of the proposed test and demonstrate that its limiting null distribution follows an asymptotically χ2-distribution. The simulation studies and real data applications are conducted to illustrate the finite sample performance of the proposed methods.
Keywords:Generalized analysis-of-variance-type test  Quantile regression  Single-index model  X2-distribution
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