Name
Abstract | ||
|---|---|---|
In this paper we aim to construct adaptive confidence region for the direction of @x in semiparametric models of the form Y=G(@x^TX,@e) where G(@?) is an unknown link function, @e is an independent error, and @x is a p"nx1 vector. To recover the direction of @x, we first propose an inverse regression approach regardless of the link function G(@?); to construct a data-driven confidence region for the direction of @x, we implement the empirical likelihood method. Unlike many existing literature, we need not estimate the link function G(@?) or its derivative. When p"n remains fixed, the empirical likelihood ratio without bias correlation can be asymptotically standard chi-square. Moreover, the asymptotic normality of the empirical likelihood ratio holds true even when the dimension p"n follows the rate of p"n=o(n^1^/^4) where n is the sample size. Simulation studies are carried out to assess the performance of our proposal, and a real data set is analyzed for further illustration. |
Year | DOI | Venue |
|---|---|---|
2010 | 10.1016/j.jmva.2010.02.002 | J. Multivariate Analysis |
Keywords | Field | DocType |
unknown link function,empirical likelihood method,bias correlation,confidence region,secondary,semiparametric regression,asymptotically standard chi-square,empirical likelihood ratio,link function g,62j05,dimension p,data-driven confidence region,single-index models,primary,62j07,empirical likelihood,asymptotic normality,adaptive confidence region,semiparametric regressions,inverse regression,semiparametric model,sample size,single index model | Econometrics,Confidence region,Likelihood function,Regression analysis,Empirical likelihood,Semiparametric model,Statistics,Confidence interval,Sample size determination,Mathematics,Asymptotic distribution | Journal |
Volume | Issue | ISSN |
101 | 6 | Journal of Multivariate Analysis |
Citations | PageRank | References |
0 | 0.34 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Gaorong Li | 1 | 64 | 14.58 |
| Li-Ping Zhu | 2 | 22 | 7.66 |
| Lixing Zhu | 3 | 116 | 34.41 |