| 数据随机缺失下分位数回归模型的诱导光滑估计法 |
| |
| 引用本文： | 袁晓惠,刘天庆.数据随机缺失下分位数回归模型的诱导光滑估计法[J].统计与信息论坛,2017(6):25-30. |
| |
| 作者姓名： | 袁晓惠 刘天庆 |
| |
| 作者单位： | 1. 长春工业大学 基础科学学院,吉林 长春,130012;2. 吉林大学 数学学院,吉林 长春,130012 |
| |
| 基金项目： | 国家自然科学基金项目《不完全数据下分位数回归模型的经验似然推断》(11401048)，吉林省科技厅青年科研基金项目《删失数据的加权复合分位数回归推断》(20150520055JH) |
| |
| 摘 要： | 在数据随机缺失的分位数回归模型中,运用诱导光滑思想构造光滑的估计方程,得到了回归参数的诱导光滑估计及渐近协方差估计。接着证明了诱导光滑估计的渐近正态性质,并给出诱导光滑估计及其渐近协方差估计的算法。模拟研究表明新方法在有限样本中表现出色。
|
| 关 键 词： | EEP估计 诱导光滑 随机缺失 分位数回归 |
Induced Smoothing-based Estimator for Quantile Regression with Observations Missing at Random |
| |
| YUAN Xiao-hui,LIU Tian-qing.Induced Smoothing-based Estimator for Quantile Regression with Observations Missing at Random[J].Statistics & Information Tribune,2017(6):25-30. |
| |
| Authors: | YUAN Xiao-hui LIU Tian-qing |
| |
| Abstract: | In quantile regression model with missing observations, the paper develops a smoothed estimation equation motivated by induced smoothing, and then obtains the induced smoothing-based estimator of the regression parameter as well as the covariance matrix.The paper shows that the induced smoothing-based estimator is asymptotically normal.The algorithm for calculating the induced smoothing-based estimator of regression parameter and for the estimator of its asymptotic covariance is provided.Simulations indicate that the proposed method performs well in finite samples. |
| |
| Keywords: | EEP estimator induced smoothing missing at random quantile regression |
| 本文献已被 万方数据 等数据库收录！ |
