Lack-of-fit tests for quantile regression models

doi:10.1111/rssb.12321

CORC > 上海财经大学 > 上海财经大学

	Lack-of-fit tests for quantile regression models
	Dong, Chen 1; Li, Guodong 2; Feng, Xingdong 1
刊名	JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
	2019-07
卷号	81 期号:3 页码:629-648
关键词	High dimensional data Hypothesis test Lack of fit Quantile regression Two-sample test
ISSN号	1369-7412
DOI	10.1111/rssb.12321
英文摘要	The paper novelly transforms lack-of-fit tests for parametric quantile regression models into checking the equality of two conditional distributions of covariates. Accordingly, by applying some successful two-sample test statistics in the literature, two tests are constructed to check the lack of fit for low and high dimensional quantile regression models. The low dimensional test works well when the number of covariates is moderate, whereas the high dimensional test can maintain the power when the number of covariates exceeds the sample size. The null distribution of the high dimensional test has an explicit form, and the p-values or critical values can then be calculated directly. The finite sample performance of the tests proposed is examined by simulation studies, and their usefulness is further illustrated by two real examples.
WOS研究方向	Mathematics
语种	英语
出版者	WILEY
WOS记录号	WOS:000470714200007
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/205]
专题	上海财经大学
通讯作者	Feng, Xingdong
作者单位	1.Shanghai Univ Finance & Econ, Shanghai, Peoples R China; 2.Univ Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Dong, Chen,Li, Guodong,Feng, Xingdong. Lack-of-fit tests for quantile regression models[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY,2019,81(3):629-648.
APA	Dong, Chen,Li, Guodong,&Feng, Xingdong.(2019).Lack-of-fit tests for quantile regression models.JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY,81(3),629-648.
MLA	Dong, Chen,et al."Lack-of-fit tests for quantile regression models".JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY 81.3(2019):629-648.