Model diagnosis for parametric regression in high-dimensional spaces

• 成果类型: Article
• 署名作者: Stute, W.; Xu, W. L.; Zhu, L. X.
• 署名单位: Justus Liebig University Giessen; Renmin University of China; Hong Kong Baptist University
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asm095
• 发表日期: 2008
• 页码: 451467
• 关键词: checks

摘要

We study tools for checking the validity of a parametric regression model. When the dimension of the regressors is large, many of the existing tests face the curse of dimensionality or require some ordering of the data. Our tests are based on the residual empirical process marked by proper functions of the regressors. They are able to detect local alternatives converging to the null at parametric rates. Parametric and nonparametric alternatives are considered. In the latter case, through a proper principal component decomposition, we are able to derive smooth directional tests which are asymptotically distribution-free under the null model. The new tests take into account precisely the 'geometry of the model'. A simulation study is carried through and an application to a real dataset is illustrated.