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Novel specification tests for additive concurrent model formulation based on martingale difference divergence
arXiv - STAT - Methodology Pub Date : 2022-08-01 , DOI: arxiv-2208.00701
Laura Freijeiro-González, Manuel Febrero-Bande, Wenceslao González-Manteiga

Novel significance tests are proposed for the quite general additive concurrent model formulation without the need of model, error structure preliminary estimation or the use of tuning parameters. Making use of the martingale difference divergence coefficient, we propose new tests to measure the conditional mean independence in the concurrent model framework taking under consideration all observed time instants. In particular, global dependence tests to quantify the effect of a group of covariates in the response as well as partial ones to apply covariates selection are introduced. Their asymptotic distribution is obtained on each case and a bootstrap algorithm is proposed to compute its p-values in practice. These new procedures are tested by means of simulation studies and some real datasets analysis.

中文翻译:

基于鞅差散度的加性并发模型制定的新规范测试

提出了新的显着性检验,用于非常通用的加法并发模型公式,无需模型、误差结构初步估计或使用调整参数。利用鞅差散度系数,我们提出了新的测试来衡量并发模型框架中的条件平均独立性,同时考虑了所有观察到的时刻。特别是,引入了全局相关性测试来量化一组协变量在响应中的影响,以及应用协变量选择的部分相关性测试。在每种情况下都获得了它们的渐近分布,并提出了一种引导算法来在实践中计算其 p 值。这些新程序通过模拟研究和一些真实数据集分析进行了测试。
更新日期:2022-08-02
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