Testing for a constant coefficient of variation in nonparametric regression
| dc.creator | Dette, H. | |
| dc.creator | Wieczorek, G. | |
| dc.date | 2008-09-29 | |
| dc.date.accessioned | 2026-07-07T10:06:09Z | |
| dc.date.available | 2026-07-07T10:06:09Z | |
| dc.description | In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the $L^2$-distance between the square of the regression function and variance function. We prove asymptotic normality of a standardized estimate of this distance under the null hypothesis and fixed alternatives and the finite sample properties of a corresponding bootstrap test are investigated by means of a simulation study. The results are applicable to stationary processes with the common mixing conditions and are used to construct tests for ARCH assumptions in financial time series. | |
| dc.description | 29 pages | |
| dc.identifier | https://arxiv.org/abs/0809.4937 | |
| dc.identifier | http://arxiv.org/abs/0809.4937 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/170226 | |
| dc.subject | Statistics Theory | |
| dc.title | Testing for a constant coefficient of variation in nonparametric regression | |
| dc.type | text |