Testing for Varying Dispersion in Exponential Family Nonlinear Models |
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| Authors: | Bo-Cheng Wei Jian-Qing Shi Wing-Kam Fung Yue-Qing Hu |
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| Affiliation: | (1) Department of Mathematics, Southeast University, Nanjing, 210096, China;(2) Department of Statistics, The Chinese University of Hong Kong, Hong Kong, China;(3) Department of Statistics, University of Hong Kong, Pokfulam Road, Hong Kong, China |
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| Abstract: | A diagnostic model and several new diagnostic statistics are proposed for testing for varying dispersion in exponential family nonlinear models. A score statistic and an adjusted score statistic based on Cox and Reid (1987, J. Roy. Statist. Soc. Ser. B, 55, 467-471) are derived in normal, inverse Gaussian, and gamma nonlinear models. An adjusted likelihood ratio statistic is also given for normal and inverse Gaussian nonlinear models. The results of simulation studies are presented, which show that the adjusted tests keep their sizes better and are more powerful than the ordinary tests. |
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| Keywords: | Adjusted profile likelihood exponential family non-linear models gamma model inverse Gaussian model score statistic simulation study varying dispersion |
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