Diagnostics for skew-normal nonlinear regression models with AR(1) errors

Authors:
Feng-Chang Xie;Jin-Guan Lin;Bo-Cheng Wei
Affiliations:
Department of Mathematics, Southeast University, Nanjing, 210096, China and Department of Mathematics, Nanjing Agricultural University, Nanjing, 210095, China;Department of Mathematics, Southeast University, Nanjing, 210096, China;Department of Mathematics, Southeast University, Nanjing, 210096, China
Venue:
Computational Statistics & Data Analysis
Year:
2009

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Abstract

In this article, we consider some diagnostics for skew-normal nonlinear regression models with AR(1) errors which provide a useful extension of the normal regression models. The estimation of the parameters in the models is studied based on the EM algorithm. Meanwhile, several score tests are presented for testing the homogeneity of the scale parameter and/or significance of autocorrelation in skew-normal nonlinear regression models. The properties of score tests are investigated through Monte Carlo simulations. The test methods are illustrated with two numerical examples.