Computational Statistics & Data Analysis ( IF 1.8 ) Pub Date : 2021-03-31 , DOI: 10.1016/j.csda.2021.107207 Caiyun Fan , Wenbin Lu , Yong Zhou
In censored linear regression, a key assumption is that the error is independent of predictors. We develop an omnibus test to check error heterogeneity in censored linear regression. Our approach is based on testing the variance component in a working kernel machine regression model. The limiting null distribution of the proposed test statistic is shown to be a weighted sum of independent chi-squared distributions with one degree of freedom. A resampling scheme is derived to approximate the null distribution. The empirical performance of the proposed tests is evaluated via simulation and two real data sets.
中文翻译:
检验线性回归中的误差异质性
在审查线性回归中,一个关键的假设是误差与预测变量无关。我们开发了一种综合测试,以检查在审查的线性回归中的错误异质性。我们的方法基于在工作的内核机回归模型中测试方差分量。所提出的测试统计量的极限零分布被显示为具有一个自由度的独立卡方分布的加权和。推导重采样方案以近似零分布。拟议测试的经验性能通过仿真和两个真实数据集进行评估。