Testing Monotonicity of Regression Functions – An Empirical Process Approach

Authors


Melanie Birke, Mathematisches Institut, Universität Bayreuth, 95440 Bayreuth, Germany.
E-mail: melanie.birke@uni-bayreuth.de

Abstract.

We propose several new tests for monotonicity of regression functions based on different empirical processes of residuals and pseudo-residuals. The residuals are obtained from an unconstrained kernel regression estimator whereas the pseudo-residuals are obtained from an increasing regression estimator. Here, in particular, we consider a recently developed simple kernel-based estimator for increasing regression functions based on increasing rearrangements of unconstrained non-parametric estimators. The test statistics are estimated distance measures between the regression function and its increasing rearrangement. We discuss the asymptotic distributions, consistency and small sample performances of the tests.

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