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Activity Number:
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30
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Type:
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Contributed
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Date/Time:
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Sunday, August 2, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #305209 |
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Title:
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Nonparametric Test for Changepoint in Variance Function
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Author(s):
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Kee-Hoon Kang*+ and Jib Huh
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Companies:
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Hankuk University of Foreign Studies and Duksung Woman's University
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Address:
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Wangsan-ri, Mohyun-myeon, Yongin, International, 449-791, Korea
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Keywords:
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Discontinuity point ; Nonparametric regression ; One-sided kernel ; Bootstrap test
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Abstract:
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In this paper we consider the nonparametric test for the existence of discontinuity in variance function under nonparametric heteroscedastic random design regression model. We first propose the test statistics by considering estimators of the change point and the jump size in the variance function. Asymptotic distribution of the proposed test statistics is derived. Simulation studies are carried out to investigate the practical performance of the proposed method. We examine the power of the proposed test based on bootstrap approach.
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