Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Goodness-of-fit test for mean and variance functions

  • Jung, Sin-Ho (Department of Statistics, Hallym University, Chunchon, Kangwon 200-702) ;
  • Lee, Kee-Won (Department of Statistics, Hallym University, Chunchon, Kangwon 200-702)
  • Published : 1997.06.01
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Abstract

Using regression methods based on quasi-likelihood equation, one only needs to specify the conditional mean and variance functions for the response variable in the analysis. In this paper, an omnibus lack-of-fit test is proposed to test the validity of these two functions. Our test is consistent against the alternative under which either the mean or the variance is not the one specified in the null hypothesis. The large-sample null distribution of our test statistics can be approximated through simulations. Extensive numerical studies are performed to demonstrate that the new test preserves the prescribed type I error probability. Power comparisons are conducted to show the advantage of the new proposal.

Keywords

References

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