A LOSS FUNCTION APPROACH TO MODEL SPECIFICATION TESTING AND ITS RELATIVE EFFICIENCY

CORC > 厦门大学 > 王亚南院－已发表论文

	A LOSS FUNCTION APPROACH TO MODEL SPECIFICATION TESTING AND ITS RELATIVE EFFICIENCY
	Hong, Yongmiao ; Lee, Yoon-Jin ; Hong YM(洪永淼)
刊名	http://dx.doi.org/10.1214/13-AOS1099
	2013
关键词	LIKELIHOOD RATIO TESTS NONLINEAR TIME-SERIES NONPARAMETRIC REGRESSION CONDITIONAL HETEROSCEDASTICITY BANDWIDTH SELECTION MAXIMUM-LIKELIHOOD ASYMMETRIC LOSS INFERENCES PREDICTION VARIANCE
英文摘要	The generalized likelihood ratio (GLR) test proposed by Fan, Zhang and Zhang [Ann. Statist. 29 (2001) 153-193] and Fan and Yao [Nonlinear Time Series: Nonparametric and Parametric Methods (2003) Springer] is a generally applicable nonparametric inference procedure. In this paper, we show that although it inherits many advantages of the parametric maximum likelihood ratio (LR) test, the GLR test does not have the optimal power property. We propose a generally applicable test based on loss functions, which measure discrepancies between the null and nonparametric alternative models and are more relevant to decision-making under uncertainty. The new test is asymptotically more powerful than the GLR test in terms of Pitman's efficiency criterion. This efficiency gain holds no matter what smoothing parameter and kernel function are used and even when the true likelihood function is available for the GLR test.
语种	英语
出版者	INST MATHEMATICAL STATISTICS
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91517]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Hong, Yongmiao,Lee, Yoon-Jin,Hong YM. A LOSS FUNCTION APPROACH TO MODEL SPECIFICATION TESTING AND ITS RELATIVE EFFICIENCY[J]. http://dx.doi.org/10.1214/13-AOS1099,2013.
APA	Hong, Yongmiao,Lee, Yoon-Jin,&洪永淼.(2013).A LOSS FUNCTION APPROACH TO MODEL SPECIFICATION TESTING AND ITS RELATIVE EFFICIENCY.http://dx.doi.org/10.1214/13-AOS1099.
MLA	Hong, Yongmiao,et al."A LOSS FUNCTION APPROACH TO MODEL SPECIFICATION TESTING AND ITS RELATIVE EFFICIENCY".http://dx.doi.org/10.1214/13-AOS1099 (2013).