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Various Approaches to Szroeter’s Test for Regression Quantiles
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SYSNO ASEP 0489088 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Various Approaches to Szroeter’s Test for Regression Quantiles Author(s) Kalina, Jan (UIVT-O) RID, SAI, ORCID
Peštová, Barbora (UIVT-O) RID, SAISource Title Proceedings of the 11th International Scientific Conference INPROFORUM: Innovations, Enterprises, Regions and Management. - České Budějovice : University of South Bohemia in České Budějovice, 2017 / Pech M. - ISBN 978-80-7394-667-8 Pages s. 361-365 Number of pages 5 s. Publication form Online - E Action INPROFORUM 2017. The International Scientific Conference. Innovations, Enterprises, Regions and Management /11./ Event date 09.11.2017 - 10.11.2017 VEvent location České Budějovice Country CZ - Czech Republic Event type EURWRD Language eng - English Country CZ - Czech Republic Keywords Heteroscedasticity ; Regression median ; Diagnostic tools ; Asymptotics Subject RIV IN - Informatics, Computer Science OECD category Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8) Institutional support UIVT-O - RVO:67985807 Annotation Regression quantiles represent an important tool for regression analysis popular in econometric applications, for example for the task of detecting heteroscedasticity in the data. Nevertheless, they need to be accompanied by diagnostic tools for verifying their assumptions. The paper is devoted to heteroscedasticity testing for regression quantiles, while their most important special case is commonly denoted as the regression median. Szroeter’s test, which is one of available heteroscedasticity tests for the least squares, is modified here for the regression median in three different ways: (1) asymptotic test based on the asymptotic representation for regression quantiles, (2) permutation test based on residuals, and (3) exact approximate test, which has a permutation character and represents an approximation to an exact test. All three approaches can be computed in a straightforward way and their principles can be extended also to other heteroscedasticity tests. The theoretical results are expected to be extended to other regression quantiles and mainly to multivariate quantiles. Workplace Institute of Computer Science Contact Tereza Šírová, sirova@cs.cas.cz, Tel.: 266 053 800 Year of Publishing 2019 Electronic address http://ocs.ef.jcu.cz/index.php/inproforum/INP2017/paper/view/916
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