Tests for qualitative features in the random coefficients model

Fabian Dunker, Konstantin Eckle, Katharina Proksch, Anselm Johannes Schmidt-Hieber

    Research output: Contribution to journalArticleAcademicpeer-review

    2 Citations (Scopus)
    42 Downloads (Pure)

    Abstract

    The random coefficients model is an extension of the linear regression model that allows for unobserved heterogeneity in the population by modeling the regression coefficients as random variables. Given data from this model, the statistical challenge is to recover information about the joint density of the random coefficients which is a multivariate and ill-posed problem. Because of the curse of dimensionality and the ill-posedness, nonparametric estimation of the joint density is difficult and suffers from slow convergence rates. Larger features, such as an increase of the density along some direction or a well-accentuated mode can, however, be much easier detected from data by means of statistical tests. In this article, we follow this strategy and construct tests and confidence statements for qualitative features of the joint density, such as increases, decreases and modes. We propose a multiple testing approach based on aggregating single tests which are designed to extract shape information on fixed scales and directions. Using recent tools for Gaussian approximations of multivariate empirical processes, we derive expressions for the critical value. We apply our method to simulated and real data.

    Original languageEnglish
    Pages (from-to)2257-2306
    Number of pages50
    JournalElectronic Journal of Statistics
    Volume13
    Issue number2
    DOIs
    Publication statusPublished - 2019

    Keywords

    • Gaussian approximation
    • Ill-posed problems
    • Mode detection
    • Mono-tonicity
    • Multiscale statistics
    • Radon transform
    • Shape constraints

    Fingerprint Dive into the research topics of 'Tests for qualitative features in the random coefficients model'. Together they form a unique fingerprint.

    Cite this