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Testing heteroscedasticity in nonparametric regression based on trend analysis. (English) Zbl 1442.62087

Summary: We first propose in this paper a new test method for detecting heteroscedasticity of the error term in nonparametric regression. Some simulation experiments are then conducted to evaluate the performance of the proposed methodology. A real-world data set is finally analyzed to demonstrate the application of the method.

MSC:

62G08 Nonparametric regression and quantile regression
62G10 Nonparametric hypothesis testing
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