Robust testing to compare regression curves

Abstract

This paper focuses on the problem of testing the null hypothesis that the regression functions of several populations are equal under a general nonparametric homoscedastic regression model. To protect against atypical observations, the test statistic is based on the residuals obtained by using a robust estimate for the regression function under the null hypothesis. 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 compare the finite sample behaviour of the proposed tests with the classical one obtained using local averages. An illustration to a real data set is also provided.