Journal article
Bürmann expansion and test for additivity
Biometrika, Vol.90(1), pp.209-222
2003
DOI: 10.1093/biomet/90.1.209
Abstract
We propose a Lagrange multiplier test for additivity based on the Bürmann expansion of a conditional mean function. The asymptotic null distribution of the test is shown to be χ2, under some regularity conditions. In contrast, the Lagrange multiplier test proposed by Chen et al. (1995) is based on the Volterra expansion of the conditional mean function. We discuss some desirable advantages of the Bürmann expansion over the Volterra expansion for nonlinear time series modelling. We also reported an empirical study which shows that, in terms of empirical power, the Lagrange multiplier test motivated by the Bürmann expansion outperforms the test of Chen et al. (1995) for the cases for which the Lagrange multiplier test is designed. For other cases for which none of the tests is specifically designed, the empirical powers of the two tests are comparable. Finally, we illustrated the use of the Lagrange multiplier test with a blowfly experimental system.
Details
- Title: Subtitle
- Bürmann expansion and test for additivity
- Creators
- K. S Chan - University of IowaA. B Kristoffersen - University of OsloN. Chr Stenseth - University of Oslo
- Resource Type
- Journal article
- Publication Details
- Biometrika, Vol.90(1), pp.209-222
- Publisher
- Oxford University Press
- DOI
- 10.1093/biomet/90.1.209
- ISSN
- 0006-3444
- eISSN
- 1464-3510
- Language
- English
- Date published
- 2003
- Academic Unit
- Statistics and Actuarial Science; Radiology
- Record Identifier
- 9984257616102771
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