Testing for superiority between two variance functions

Boente, Graciela Boente; Pardo Fernández, Juan Carlos

Abstract:

This paper focuses on the problem of testing the null hypothesis that the variance functions of two populations are equal versus one-sided alternatives under a general nonparametric heteroscedastic regression model. The asymptotic distribution of the test statistic is studied.

Year:

2020

Type of Publication:

Article

Keywords:

Conditional variance; Hypothesis testing; Nonparametric regression models; Smoothing techniques

Journal:

Statistics and Probability Letters

Volume:

156

Number:

108612

Month:

January

Note:

Q4 102/123 h-index 0.615 (JCR2018)

Comments:

The authors wish to thank two anonymous referees for valuable comments which led to an improved version of the original paper. This research was partially supported by Grants 20020170100022ba from the Universidad de Buenos Aires and pict 2014-0351 from anpcyt, Argentina (G. Boente), and by Grants MTM2016-76969P (G. Boente) and MTM2017-89422-P (J. C. Pardo-Fernández) from the Ministry of Economy, Industry and Competitiveness, Spain (MINECO/AEI/FEDER, UE). The research began while G. Boente was visiting the University of Vigo.