Title: Testing for superiority between two variance functions
Authors: Juan-Carlos Pardo-Fernandez - Universidade de Vigo (Spain) [presenting]
Graciela Boente - Universidad de Buenos Aires (Argentina)
Abstract: The focus is on the problem of testing the null hypothesis that the variance functions of two populations are equal versus one-sided alternatives under a general nonparametric heteroscedastic regression model. The asymptotic distribution of the test statistic is studied under the null hypothesis and under root-n contiguous alternatives. A Monte Carlo study is performed to analyse the finite sample behaviour of the proposed test.