Distribution free testing for linear regression. Extension to general parametric regression
Abstract
Recently a distribution free approach for testing parametric hypotheses based on unitary transformations has been suggested in Khm13, Khm16, Khm17 and further studied in Ngu17 and Rob19. In this note we show that the transformation takes extremely simple form in distribution free testing of linear regression. Then we extend it to general parametric regression with vector-valued covariates.
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