ON BOOTSTRAPPING M-ESTIMATED RESIDUAL PROCESSES IN MULTIPLE LINEAR-REGRESSION MODELS

[摘要] It is shown, under fairly general conditions, that Efron's bootstrap procedure captures the limit distribution of weighted empirical processes based on M-estimated residuals in multiple linear regression models. As an application, we construct bootstrap confidence bands for the error distribution function F. The main result can also be used to design distribution-free goodness-of-fit tests for F without any recourse to the split-sample estimation of the regression parameters. (C) 1994 Academic Press, Inc.

[发布日期] 1994-05-01

[关键词] GOODNESS-OF-FIT TESTS;M-ESTIMATORS;WEIGHTED RESIDUAL EMPIRICAL PROCESSES;CONFIDENCE BANDS