Empirical likelihood for semiparametric varying-coefficient partially linear regression models

doi:10.1016/j.spl.2005.08.029

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	Empirical likelihood for semiparametric varying-coefficient partially linear regression models
	You, JH ; Zhou, Y
	2006-02-15
发表期刊	STATISTICS & PROBABILITY LETTERS
ISSN	0167-7152
卷号	76 期号:4 页码:412-422
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.
关键词	partially linear regression varying-coefficient empirical likelihood Wilk's theorem confidence region
DOI	10.1016/j.spl.2005.08.029
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000235428800011
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/2908
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.