Nonparametric checks for single-index models

The Annals of Statistics · 2005 · Volume 33 · Issue 3

Abstract

In this paper we study goodness-of-fit testing of single-index models. The large sample behavior of certain score-type test statistics is investigated. As a by-product, we obtain asymptotically distribution-free maximin tests for a large class of local alternatives. Furthermore, characteristic function based goodness-of-fit tests are proposed which are omnibus and able to detect peak alternatives. Simulation results indicate that the approximation through the limit distribution is acceptable already for moderate sample sizes. Applications to two real data sets are illustrated.

Keywords

62E17, 62G08, 62H15, Goodness-of-fit, maximin tests, omnibus tests, peak alternatives, Single-index model

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