WIAS Preprint No. 472, (1999)

Data-driven testing the fit of linear models



Authors

  • Spokoiny, Vladimir
    ORCID: 0000-0002-2040-3427

2010 Mathematics Subject Classification

  • 62H25 62G10

Keywords

  • data-driven test, Haar basis, linear hypothesis, nonparametric alternative, regression model

Abstract

The paper is concerned with the problem of testing a linear hypothesis about regression function. We propose a new testing procedure based on the Haar transform which is adaptive to unknown smoothness properties of the underlying function. The results show rate optimality of this procedure under mild conditions on the model.

Appeared in

  • Math. Methods Statist., 10, no. 4 (2001), pp. 465 - 497

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