Adaptive-to-model checking for regressions with diverging number of predictors
Adaptive-to-model checking for regressions with diverging number of predictors
In this paper, we construct an adaptive-to-model residual-marked empirical process as the base of constructing a goodness-of-fit test for parametric single-index models with diverging number of predictors. To study the relevant asymptotic properties, we first investigate, under the null and alternative hypothesis, the estimation consistency and asymptotically linear representation of …