{
  "id": "0809.4937",
  "version": "v1",
  "published": "2008-09-29T11:24:20.000Z",
  "updated": "2008-09-29T11:24:20.000Z",
  "title": "Testing for a constant coefficient of variation in nonparametric regression",
  "authors": [
    "H. Dette",
    "G. Wieczorek"
  ],
  "comment": "29 pages",
  "categories": [
    "math.ST",
    "stat.TH"
  ],
  "abstract": "In this paper we propose a new test for the hypothesis of a constant coefficient of variation in the common nonparametric regression model. The test is based on an estimate of the $L^2$-distance between the square of the regression function and variance function. We prove asymptotic normality of a standardized estimate of this distance under the null hypothesis and fixed alternatives and the finite sample properties of a corresponding bootstrap test are investigated by means of a simulation study. The results are applicable to stationary processes with the common mixing conditions and are used to construct tests for ARCH assumptions in financial time series.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2008-09-29T11:24:20.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "constant coefficient",
      "common nonparametric regression model",
      "financial time series",
      "finite sample properties",
      "regression function"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 29,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2008arXiv0809.4937D"
    }
  }
}