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Abstract Details
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Activity Number:
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77
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Type:
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Contributed
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Date/Time:
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Sunday, July 31, 2011 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #301554 |
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Title:
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Test for Discontinuity in Variance Function Under Nonparametric Heteroscedastic Regression Model
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Author(s):
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Kee-Hoon Kang*+
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Companies:
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Hankuk University of Foreign Studies
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Address:
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Mohyun, Wangsan, Yongin, International, 449-791, KOREA
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Keywords:
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change point ;
jump size ;
bootstrap
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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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Authors who are presenting talks have a * after their name.
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