KMS Of Academy of mathematics and systems sciences, CAS
Robust model selection with covariables missing at random | |
Liang, Zhongqi1; Wang, Qihua1,2; Wei, Yuting3 | |
2021-08-25 | |
Source Publication | ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS |
ISSN | 0020-3157 |
Pages | 19 |
Abstract | 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. |
Keyword | Model selection Inverse probability weight Model misspecification Missing at random Kullback-Leibler divergence Robust |
DOI | 10.1007/s10463-021-00806-2 |
Indexed By | SCI |
Language | 英语 |
Funding Project | 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 Research Area | Mathematics |
WOS Subject | Statistics & Probability |
WOS ID | WOS:000688377000001 |
Publisher | SPRINGER HEIDELBERG |
Citation statistics | |
Document Type | 期刊论文 |
Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/59175 |
Collection | 应用数学研究所 |
Corresponding Author | Wang, Qihua |
Affiliation | 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 |
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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