Simultaneous confidence band and hypothesis test in generalised varying-coefficient models

Wenyang Zhang, H Peng

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)

Abstract

Generalised varying-coefficient models (GVC) are very important models. There are a considerable number of literature addressing these models. However, most of the existing literature are devoted to the estimation procedure. In this paper, we systematically investigate the statistical inference for GVC, which includes confidence band as well as hypothesis test. We establish the asymptotic distribution of the maximum discrepancy between the estimated functional coefficient and the true functional coefficient. We compare different approaches for the construction of confidence band and hypothesis test. Finally, the proposed statistical inference methods are used to analyse the data from China about contraceptive use there, which leads to some interesting findings.
Original languageEnglish
Pages (from-to)1656-1680
Number of pages25
JournalJournal of Multivariate Analysis
Volume101
Issue number7
DOIs
Publication statusPublished - Aug 2010

Keywords

  • generalised likelihood ratio test
  • simultaneous confidence band
  • hypothesis test
  • local linear modelling
  • generalised varying-coefficient models

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