加权非线性回归的Score检验及其局部影响分析

Score Statistic and Its Local Influence Analysis in Weighted Nonlinear Regression

  • 摘要: 在回归分析中,随机误差是否存在方差齐性是理论与应用工作者都十分关心的问题。对线性回归,已有许多讨论(1,2)。本文则讨论加权非线性回归方差齐性的假设检验问题。本文把Cook & Weiberg(3)关于线性回归方差齐性Score检验的结果推广到非线性回归;并利用Cox & Reid(4)的参数正交化方法得到修正的Score检验统计量。同时,本文还讨论了微小扰动对于Score统计量的局部影响,得到了度量最大局部影响的诊断统计量。

     

    Abstract: The assumption of homoscedasticity is a commonly concerned problem in regression analysis. Cook and Weisherg (1983) provided a diagnostic test for heteroscedasticity based on the score statistic in linear regression. In this paper, we extend their result to nonlinear regression . We also obtain a modified score statistic based on the method of Cox and Reid (1987) in which the orthogonality between parameters of interest and nuisance parameters is used. Furthermore,we study the local influence of small perturbations on the score statistic and corresponding diagnostic measures are presented. A numerical example is given to illustrate our results.

     

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