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Robust model selection with covariables missing at random
Liang, Zhongqi1; Wang, Qihua1,2; Wei, Yuting3
2021-08-25
Source PublicationANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN0020-3157
Pages19
AbstractLet 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.
KeywordModel selection Inverse probability weight Model misspecification Missing at random Kullback-Leibler divergence Robust
DOI10.1007/s10463-021-00806-2
Indexed BySCI
Language英语
Funding ProjectNational 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 Research AreaMathematics
WOS SubjectStatistics & Probability
WOS IDWOS:000688377000001
PublisherSPRINGER HEIDELBERG
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/59175
Collection应用数学研究所
Corresponding AuthorWang, Qihua
Affiliation1.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
Recommended Citation
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.
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