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Testing functional inequalities

Authors: Sokbae Lee , Kyungchui (Kevin) Song and Yoon-Jae Whang
Date: 22 February 2011
Type: cemmap Working Paper, CWP12/11
DOI: 10.1920/wp.cem.2011.1211

Abstract

This paper develops tests for inequality constraints of nonparametric regression functions. The test statistics involve a one-sided version of Lp-type functionals of kernel estimators. Drawing on the approach of Poissonization, this paper establishes that the tests are asymptotically distribution free, admitting asymptotic normal approximation. Furthermore, the tests have nontrivial local power against a certain class of local alternatives converging to the null at the rate of n-1/2. Some results from Monte Carlo simulations are presented.

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Now published:
Sokbae Lee, Song, Kyungchul and Yoon-Jae Whang January 2013, Testing functional inequalities, Journal Article, Elsevier

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