2002 | OriginalPaper | Buchkapitel
A New Test of Linear Hypothesis in Regression
verfasst von : Y. Baraud, S. Huet, B. Laurent
Erschienen in: Goodness-of-Fit Tests and Model Validity
Verlag: Birkhäuser Boston
Enthalten in: Professional Book Archive
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In the Gaussian regression model, we propose a new test, based on model selection methods, for testing that the regression function F belongs to a linear space. The test is free from any prior assumption on F and on the variance a2 of the errors. The procedure is rate optimal over both smooth and directional alternatives and the simulations studies show that it is also robust with respect to the non-Gaussianity of the errors.