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Activity Number:
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142
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Type:
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Contributed
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Date/Time:
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Monday, August 7, 2006 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #306371 |
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Title:
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Two-Sample Comparison with Long Memory Errors
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Author(s):
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Fang Li*+
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Companies:
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Indiana University Purdue University Indianapolis
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Address:
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Department of Mathematical Sciences, Indianapolis, IN, 46202,
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Keywords:
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partial sum process ; fractional Brownian motion ; Monte Carlo simulation
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Abstract:
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This paper discusses the problem of testing the equality of two nonparametric regression functions against two-sided alternatives for uniform design on [0,1] with long memory moving average errors. The standard deviations and the long memory parameters are possibly different for the two errors. The paper adapts the partial sum process idea used in the independent observations settings to construct the tests and derives their asymptotic null distributions. The paper also shows that these tests are consistent for general alternatives and obtains their limiting distributions under a sequence of local alternatives. Monte Carlo simulations are then conducted to study the finite sample level and power behavior of these tests at some alternatives.
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