STATISTICAL INFERENCE FOR SEMIPARAMETRIC VARYING-COEFFICIENT PARTIALLY LINEAR MODELS WITH ERROR-PRONE LINEAR COVARIATES

doi:10.1214/07-AOS561

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	STATISTICAL INFERENCE FOR SEMIPARAMETRIC VARYING-COEFFICIENT PARTIALLY LINEAR MODELS WITH ERROR-PRONE LINEAR COVARIATES
	Zhou, Yong1,2 ; Liang, Hua 3
	2009-02-01
发表期刊	ANNALS OF STATISTICS
ISSN	0090-5364
卷号	37 期号:1 页码:427-458
摘要	We study semiparametric varying-coefficient partially linear models when some linear covariates are not observed, but ancillary variables are available. Semiparametric profile least-square based estimation procedures are developed for parametric and nonparametric components after we calibrate the error-prone covariates. Asymptotic properties of the proposed estimators are established. We also propose the profile least-square based ratio test and Wald test to identify significant parametric and nonparametric components. To improve accuracy of the proposed tests for small or moderate sample sizes, a wild bootstrap version is also proposed to calculate the critical values. Intensive simulation experiments are conducted to illustrate the proposed approaches.
关键词	Ancillary variables de-noise linear model errors-in-variable profile least-square-based estimator rational expection model validation data wild bootstrap
DOI	10.1214/07-AOS561
语种	英语
资助项目	National Natural Science Foundation of China (NSFC)[10471140] ; National Natural Science Foundation of China (NSFC)[10731010] ; National Basic Research Program[2007CB814902] ; Creative Research Groups of China, SUFE[211] ; Shanghai Leading Academic Discipline Project[13803] ; NIH/NIAID[AI62247] ; NIH/NIAID[AI59773] ; NSF[DMS806097]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000263129000016
出版者	INST MATHEMATICAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/8153
专题	应用数学研究所
通讯作者	Zhou, Yong
作者单位	1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China 2.Shanghai Univ Finance & Econ, Dept Stat, Shanghai 200433, Peoples R China 3.Univ Rochester, Dept Biostat & Computat Biol, Rochester, NY 14642 USA
推荐引用方式 GB/T 7714	Zhou, Yong,Liang, Hua. STATISTICAL INFERENCE FOR SEMIPARAMETRIC VARYING-COEFFICIENT PARTIALLY LINEAR MODELS WITH ERROR-PRONE LINEAR COVARIATES[J]. ANNALS OF STATISTICS,2009,37(1):427-458.
APA	Zhou, Yong,&Liang, Hua.(2009).STATISTICAL INFERENCE FOR SEMIPARAMETRIC VARYING-COEFFICIENT PARTIALLY LINEAR MODELS WITH ERROR-PRONE LINEAR COVARIATES.ANNALS OF STATISTICS,37(1),427-458.
MLA	Zhou, Yong,et al."STATISTICAL INFERENCE FOR SEMIPARAMETRIC VARYING-COEFFICIENT PARTIALLY LINEAR MODELS WITH ERROR-PRONE LINEAR COVARIATES".ANNALS OF STATISTICS 37.1(2009):427-458.