Robust model selection with covariables missing at random

doi:10.1007/s10463-021-00806-2

CSpace > 应用数学研究所

	Robust model selection with covariables missing at random
	Liang, Zhongqi 1; Wang, Qihua1,2 ; Wei, Yuting 3
	2021-08-25
发表期刊	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN	0020-3157
页码	19
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.
关键词	Model selection Inverse probability weight Model misspecification Missing at random Kullback-Leibler divergence Robust
DOI	10.1007/s10463-021-00806-2
收录类别	SCI
语种	英语
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
WOS类目	Statistics & Probability
WOS记录号	WOS:000688377000001
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/59175
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.