The Annals of Statistics

Minimum distance regression model checking with Berkson measurement errors

Hira L. Koul and Weixing Song

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Abstract

Lack-of-fit testing of a regression model with Berkson measurement error has not been discussed in the literature to date. To fill this void, we propose a class of tests based on minimized integrated square distances between a nonparametric regression function estimator and the parametric model being fitted. We prove asymptotic normality of these test statistics under the null hypothesis and that of the corresponding minimum distance estimators under minimal conditions on the model being fitted. We also prove consistency of the proposed tests against a class of fixed alternatives and obtain their asymptotic power against a class of local alternatives orthogonal to the null hypothesis. These latter results are new even when there is no measurement error. A simulation that is included shows very desirable finite sample behavior of the proposed inference procedures.

Article information

Source
Ann. Statist., Volume 37, Number 1 (2009), 132-156.

Dates
First available in Project Euclid: 16 January 2009

Permanent link to this document
https://projecteuclid.org/euclid.aos/1232115930

Digital Object Identifier
doi:10.1214/07-AOS565

Mathematical Reviews number (MathSciNet)
MR2400470

Zentralblatt MATH identifier
1155.62028

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 62G10: Hypothesis testing

Keywords
Kernel estimator L_2 distance consistency local alternatives

Citation

Koul, Hira L.; Song, Weixing. Minimum distance regression model checking with Berkson measurement errors. Ann. Statist. 37 (2009), no. 1, 132--156. doi:10.1214/07-AOS565. https://projecteuclid.org/euclid.aos/1232115930


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