Score tests for homogeneity of variances in longitudinal time series data via wavelets

Mahalingam, Nalini (2007) Score tests for homogeneity of variances in longitudinal time series data via wavelets. Masters thesis, Memorial University of Newfoundland.

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Abstract

We discuss Neyman's partial score test for homogeneity of variances in nonparametric models. We considered two data structures. First, we consider longitudinal data where the observations from each subject are generated from a nonparametric model with heteroscedastic errors. In this context, we found that the discrete wavelet transform approach used by Cai, Hurvich and Tsai (1998) does not lead to a consistent estimate of the mean response function which in turn affects the score statistic. Second, we consider longitudinal data where the observed response from each subject is assumed to be a time series that is nonstationary in mean and variance. The trend component of each series is estimated by a wavelet version of weighted least squares and the residuals are used in estimating the local variances. These estimates are used in a simulation study of the score statistic we construct for testing homoscedasticity in the longitudinal set-up. In the simulation study we examine the size and power of the test.

Item Type: Thesis (Masters)
URI: http://research.library.mun.ca/id/eprint/10965
Item ID: 10965
Additional Information: Includes bibliographical references (leaves 69-70).
Department(s): Science, Faculty of > Mathematics and Statistics
Date: 2007
Date Type: Submission
Library of Congress Subject Heading: Analysis of variance; Longitudinal method; Nonparametric statistics; Wavelets (Mathematics)

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