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Article Dans Une Revue Journal of Statistical Planning and Inference Année : 2017

Powerful nonparametric checks for quantile regression

Résumé

We address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates. The test has asymptotically gaussian critical values, and wild bootstrap can be applied to obtain more accurate ones in small samples. Our procedure appears to be competitive with existing ones in simulations. We illustrate the usefulness of our test on birthweight data.

Dates et versions

hal-00979239 , version 1 (15-04-2014)

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Citer

Samuel Maistre, Pascal Lavergne, Valentin Patilea. Powerful nonparametric checks for quantile regression. Journal of Statistical Planning and Inference, 2017, 180, pp.13-29. ⟨10.1016/j.jspi.2016.08.006⟩. ⟨hal-00979239⟩
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