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Simultaneous variable selection for heteroscedastic regression models

✍ Scribed by ZhongZhan Zhang; DaRong Wang


Book ID
107348378
Publisher
SP Science China Press
Year
2011
Tongue
English
Weight
325 KB
Volume
54
Category
Article
ISSN
1674-7283

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This paper is devoted to goodness-of-ΓΏt tests for parametric possibly nonlinear heteroscedastic regression models. The test statistic is constructed using a marked empirical process based on residuals. We investigate the consistency of this test statistic and of the estimators needed to compute it.