Empirical likelihood for semiparametric varying-coefficient partially linear regression models
文献类型：期刊论文
| 作者 | You, JH; Zhou, Y
|
| 刊名 | STATISTICS & PROBABILITY LETTERS
 |
| 出版日期 | 2006-02-15 |
| 卷号 | 76期号:4页码:412-422 |
| 关键词 | partially linear regression varying-coefficient empirical likelihood Wilk's theorem confidence region |
| ISSN号 | 0167-7152 |
| DOI | 10.1016/j.spl.2005.08.029 |
| 英文摘要 | This paper is concerned with the estimating problem of the varying-coefficient partially linear regression model. We apply the empirical method to this semiparametric model. An empirical log-likelihood ratio for the parametric components, which are of primary interest, is proposed and the nonparametric version of the Wilk's theorem is derived. Thus, the confidence regions of the parametric components with asymptotically correct coverage probabilities can be constructed. Compared with those based on normal approximation, the confidence regions based on the empirical likelihood have two advantages: (1) they do not have the predetermined symmetry, which enables them to better correspond with the true shape of the underlying distribution; (2) they do not involve any asymptotic covariance matrix estimation and hence are robust against the heteroscedasticity. Some simulations and an application are conducted to illustrate the proposed method. (c) 2005 Elsevier B.V. All rights reserved. |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000235428800011 |
| 出版者 | ELSEVIER SCIENCE BV |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/2907]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | You, JH |
| 作者单位 | 1.Univ N Carolina, Dept Biostat, Chapel Hill, NC 27599 USA 2.S China Univ Technol, Sch Econ & Trade, Guangzhou 510641, Peoples R China 3.Chinese Acad Sci, Inst Appl Math, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | You, JH,Zhou, Y. Empirical likelihood for semiparametric varying-coefficient partially linear regression models[J]. STATISTICS & PROBABILITY LETTERS,2006,76(4):412-422. |
| APA | You, JH,&Zhou, Y.(2006).Empirical likelihood for semiparametric varying-coefficient partially linear regression models.STATISTICS & PROBABILITY LETTERS,76(4),412-422. |
| MLA | You, JH,et al."Empirical likelihood for semiparametric varying-coefficient partially linear regression models".STATISTICS & PROBABILITY LETTERS 76.4(2006):412-422. |
入库方式： OAI收割
来源：数学与系统科学研究院
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