Robust model selection with covariables missing at random
文献类型：期刊论文
| 作者 | Liang, Zhongqi1; Wang, Qihua1,2 ; Wei, Yuting3
|
| 刊名 | ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
 |
| 出版日期 | 2021-08-25 |
| 页码 | 19 |
| 关键词 | Model selection Inverse probability weight Model misspecification Missing at random Kullback-Leibler divergence Robust |
| ISSN号 | 0020-3157 |
| DOI | 10.1007/s10463-021-00806-2 |
| 英文摘要 | Let f(Y vertical bar X,Z)(y vertical bar x,z) be the conditional probability function of Y given (X, Z), where Y is the scalar response variable, while (X, Z) is the covariable vector. This paper proposes a robust model selection criterion for f(Y vertical bar X,Z)(y vertical bar x,z) with X missing at random. The proposed method is developed based on a set of assumed models for the selection probability function. However, the consistency of model selection by our proposal does not require these models to be correctly specified, while it only requires that the selection probability function is a function of these assumed selective probability functions. Under some conditions, it is proved that the model selection by the proposed method is consistent and the estimator for population parameter vector is consistent and asymptotically normal. A Monte Carlo study was conducted to evaluate the finite-sample performance of our proposal. A real data analysis was used to illustrate the practical application of our proposal. |
| 资助项目 | National Natural Science Foundation of China[11871460] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[61621003] ; Key Lab of Random Complex Structure and Data Science, CAS |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000688377000001 |
| 出版者 | SPRINGER HEIDELBERG |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/59174]  |
| 专题 | 应用数学研究所 |
| 通讯作者 | Wang, Qihua |
| 作者单位 | 1.Zhejiang Gongshang Univ, Sch Stat & Math, Hangzhou 310018, Zhejiang, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Peoples R China |
| 推荐引用方式 GB/T 7714 | Liang, Zhongqi,Wang, Qihua,Wei, Yuting. Robust model selection with covariables missing at random[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2021:19. |
| APA | Liang, Zhongqi,Wang, Qihua,&Wei, Yuting.(2021).Robust model selection with covariables missing at random.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,19. |
| MLA | Liang, Zhongqi,et al."Robust model selection with covariables missing at random".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS (2021):19. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。