可加模型的序列相关检验

Testing Serial Correlation in Additive Models

可加模型是一类应用广泛的半参数模型,为了检验模型误差是否存在有限阶数的序列相关,基于由Backfitting估计方法得到残差构造了检验统计量,并证明了该统计量的渐近零分布为正态分布或卡方分布,最后通过模拟试验验证了该检验方法的有效性。

Additive model is useful in statistical modeling as a semiparametric model.To test finite-order serial correlation in the additive model,the paper proposes a test statistic based on residuals.The test statistic is shown to has asymptotic normal distribution or chi-square distribution under the null hypothesis of no serial correlation.Finally,some simulations are conducted to examine the performance of our test procedure and the results are satisfactory.