Powerful nonparametric checks for quantile regression

We address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates. The test has asymptotically gaussian critical values, and wild bootstrap can be applied to obtain more accurate ones in small samples. Our procedure appears to be competitive with existing ones in simulations. We illustrate the usefulness of our test on birthweight data.Comment: 32 pages, 2 figure

A Significance Test for Covariates in Nonparametric Regression

We consider testing the significance of a subset of covariates in a nonparametric regression. These covariates can be continuous and/or discrete. We propose a new kernel-based test that smoothes only over the covariates appearing under the null hypothesis, so that the curse of dimensionality is mitigated. The test statistic is asymptotically pivotal and the rate of which the test detects local alternatives depends only on the dimension of the covariates under the null hypothesis. We show the validity of wild bootstrap for the test. In small samples, our test is competitive compared to existing procedures.Comment: 42 pages, 6 figure

Powerful nonparametric checks for quantile regression

We address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates. The test has asymptotically gaussian critical values, and wild bootstrap can be applied to obtain more accurate ones in small samples. Our procedure appears to be competitive with existing ones in simulations. We illustrate the usefulness of our test on birthweight data

Of nonparametric testing in regression

Dans cette thèse, nous étudions des tests du type : (H0) : E [U | X] = 0 p.s. contre (H1) : P {E [U | X] = 0} < 1 où U est le résidu de la modélisation d'une variable Y en fonction de X. Dans ce cadre et pour plusieurs cas particuliers – significativité de variables, régression quantile, données fonctionnelles, modèle single-index –, nous proposons une statistique de test permettant d'obtenir des valeurs critiques issues d'une loi asymptotique pivotale. Dans chaque cas, nous donnons également une méthode de bootstrap appropriée pour les échantillons de petite taille. Nous montrons la consistance envers des alternatives locales – ou à la Pitman – des tests proposés, lorsque ce type d'alternative ne tend pas trop vite vers l'hypothèse nulle. À chaque fois, nous vérifions à partir de simulations sous l'hypothèse nulle et sous une séquence d'hypothèses alternatives que les résultats théoriques sont en accord avec la pratique.In this thesis, we study test statistics of the form : (H0) : E [U | X] = 0 p.s. contre (H1) : P {E [U | X] = 0} < 1 where U is the residual of some Y modeling with respect to covariates X. In this setup and for several particular cases – significance, quantile regression, functional data, single-index model –, we introduce test statistics that have pivotal asymptotic critical values. For each case, we also give a suitable bootstrap procedure for small samples. We prove the consistency against local – or Pitman – alternatives for the proposed test statistics, when such an alternative does not get close to the null hypothesis too fast. Simulation studies are used to check the effectiveness of the theoretical results in applications

Des tests non paramétriques en régression

In this thesis, we study test statistics of the form : (H0) : E [U | X] = 0 p.s. contre (H1) : P {E [U | X] = 0} < 1 where U is the residual of some Y modeling with respect to covariates X. In this setup and for several particular cases – significance, quantile regression, functional data, single-index model –, we introduce test statistics that have pivotal asymptotic critical values. For each case, we also give a suitable bootstrap procedure for small samples. We prove the consistency against local – or Pitman – alternatives for the proposed test statistics, when such an alternative does not get close to the null hypothesis too fast. Simulation studies are used to check the effectiveness of the theoretical results in applications.Dans cette thèse, nous étudions des tests du type : (H0) : E [U | X] = 0 p.s. contre (H1) : P {E [U | X] = 0} < 1 où U est le résidu de la modélisation d'une variable Y en fonction de X. Dans ce cadre et pour plusieurs cas particuliers – significativité de variables, régression quantile, données fonctionnelles, modèle single-index –, nous proposons une statistique de test permettant d'obtenir des valeurs critiques issues d'une loi asymptotique pivotale. Dans chaque cas, nous donnons également une méthode de bootstrap appropriée pour les échantillons de petite taille. Nous montrons la consistance envers des alternatives locales – ou à la Pitman – des tests proposés, lorsque ce type d'alternative ne tend pas trop vite vers l'hypothèse nulle. À chaque fois, nous vérifions à partir de simulations sous l'hypothèse nulle et sous une séquence d'hypothèses alternatives que les résultats théoriques sont en accord avec la pratique

Nonparametric model checks of single-index assumptions

36 pages, 3 figuresInternational audienceSemiparametric single-index assumptions are convenient and widely used dimen\-sion reduction approaches that represent a compromise between the parametric and fully nonparametric models for regressions or conditional laws. In a mean regression setup, the SIM assumption means that the conditional expectation of the response given the vector of covariates is the same as the conditional expectation of the response given a scalar projection of the covariate vector. In a conditional distribution modeling, under the SIM assumption the conditional law of a response given the covariate vector coincides with the conditional law given a linear combination of the covariates. Several estimation techniques for single-index models are available and commonly used in applications. However, the problem of testing the goodness-of-fit seems less explored and the existing proposals still have some major drawbacks. In this paper, a novel kernel-based approach for testing SIM assumptions is introduced. The covariate vector needs not have a density and only the index estimated under the SIM assumption is used in kernel smoothing. Hence the effect of high-dimensional covariates is mitigated while asymptotic normality of the test statistic is obtained. Irrespective of the fixed dimension of the covariate vector, the new test detects local alternatives approaching the null hypothesis slower than $n^{-1/2}h^{-1/4},$ where $h$ is the bandwidth used to build the test statistic and $n$ is the sample size. A wild bootstrap procedure is proposed for finite sample corrections of the asymptotic critical values. The small sample performances of our test compared to existing procedures are illustrated through simulations

Testing for the significance of functional covariates

21 pages, 5 figuresInternational audienceWe consider the problem of testing for the nullity of conditional expectations of Hilbert space-valued random variables. We allow for conditioning variables taking values in finite or infinite Hilbert spaces. This testing problem occurs, for instance, when checking the goodness-of-fit or the effect of some infinite-dimensional covariates in regression models for functional data. Testing the independence, between a finite dimensional variable and a functional one, is another example that could be treated in our framework. We propose a new test based on kernel smoothing. The test statistic is asymptotically standard normal under the null hypothesis provided the smoothing parameter tends to zero at a suitable rate. The one-sided test is consistent against any fixed alternative, as well as against local alternatives à la Pitman and uniformly against classes of regular alternatives approaching the null hypothesis. In particular, we show that neither the dimension of the outcome nor the dimension of the functional covariates influences the theoretical power of the test against such alternatives. Simulation experiments and a real data application using a variable-domain functional regression model illustrate the performance of the new test

Powerful nonparametric checks for quantile regression

32 pages, 2 figuresInternational audienceWe address the issue of lack-of-fit testing for a parametric quantile regression. We propose a simple test that involves one-dimensional kernel smoothing, so that the rate at which it detects local alternatives is independent of the number of covariates. The test has asymptotically gaussian critical values, and wild bootstrap can be applied to obtain more accurate ones in small samples. Our procedure appears to be competitive with existing ones in simulations. We illustrate the usefulness of our test on birthweight data