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Testing for additivity in nonparametric quantile regression

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  • Holger Dette
  • Matthias Guhlich
  • Natalie Neumeyer

Abstract

In this article, we propose a new test for additivity in nonparametric quantile regression with a high-dimensional predictor. Asymptotic normality of the corresponding test statistic (after appropriate standardization) is established under the null hypothesis, local and fixed alternatives. We also propose a bootstrap procedure which can be used to improve the approximation of the nominal level for moderate sample sizes. The methodology is also illustrated by means of a small simulation study, and a data example is analyzed. Copyright The Institute of Statistical Mathematics, Tokyo 2015

Suggested Citation

  • Holger Dette & Matthias Guhlich & Natalie Neumeyer, 2015. "Testing for additivity in nonparametric quantile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(3), pages 437-477, June.
    • Handle: RePEc:spr:aistmt:v:67:y:2015:i:3:p:437-477
    DOI: 10.1007/s10463-014-0461-1
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