seminars:stat:170831
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| seminars:stat:170831 [2017/08/30 18:01] – qyu | seminars:stat:170831 [2017/09/01 18:21] (current) – qiao | ||
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| + | We propose a test to simultaneously test the assumption of independence and goodness-of-fit for a linear regression model $Y=\beta X+W$, where $\beta\in R^p$. If $E(|Y||X)=\infty$, | ||
| + | with a nominal size $0.05$ can be as large as $0.9$. Our approach is valid even if $E(|Y||X)=\infty$ or $E(||X||)=\infty$. Thus it is more realistic than all the existing tests. Our approach is based on the difference between two estimators of the marginal distribution $F_Y$, and thus it is called the MD approach. | ||
| + | We establish the consistency of the MD test. We compare the MD approach to the existing tests such as | ||
| + | the test in R package``gam" | ||
| + | If the existing tests are valid, then none of the existing tests and the MD test is uniformly more powerful than the other. We apply the MD approach to 3 real data sets. | ||
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