The Annals of Statistics

Model checks for regression: an innovation process approach

Winfried Stute, Silke Thies, and Li-Xing Zhu

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In the context of regression analysis it is known that the residual cusum process may serve as a basis for the construction of various omnibus, smooth and directional goodness-of-fit tests. Since a deeper analysis requires the decomposition of the cusums into their principal components and this is difficult to obtain, we propose to replace this process by its innovation martingale. It turns out that the resulting tests are (asymptotically) distribution free under composite null models and may be readily performed. A simulation study is included which indicates that the distributional approximations already work for small to moderate sample sizes.

Article information

Ann. Statist., Volume 26, Number 5 (1998), 1916-1934.

First available in Project Euclid: 21 June 2002

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Digital Object Identifier

Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 62G30 60G44
Secondary: 62G10: Hypothesis testing

Residual cusum process innovation process goodness-of-fit tests


Stute, Winfried; Thies, Silke; Zhu, Li-Xing. Model checks for regression: an innovation process approach. Ann. Statist. 26 (1998), no. 5, 1916--1934. doi:10.1214/aos/1024691363.

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