Martingale Transforms Goodness-of-Fit Tests in Regression Models

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...

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Veröffentlicht in:	The Annals of statistics 2004-06, Vol.32 (3), p.995-1034
Hauptverfasser:	Khmaladze, Estate V., Koul, Hira L.
Format:	Artikel
Sprache:	eng
Schlagworte:	62G10 62J02 Approximation Asymptotically distribution free Brownian bridge Brownian motion Distribution functions Distribution theory Estimators Exact sciences and technology General topics Linear regression Martingales Mathematical models Mathematics Monte Carlo simulation Nonparametric inference partial sum processes Partial sums Probability and statistics Probability theory and stochastic processes Regression analysis Sample size Sciences and techniques of general use Statistics Stochastic processes Testing
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