Approximation to the distribution of LAD estimators for censored regression by random weighting method |
| |
| Institution: | 1. School of Mathematics and Statistics, Huazhong University of Science and Technology, Wuhan 430074, China;2. School of Mathematics and Statistics, Henan University, Henan 475004, China;1. Department of Epidemiology and Biostatistics, School of Public Health, Indiana University Bloomington, 1025 E. 7th street, PH C104, Bloomington, IN, 47405, USA;2. Department of Epidemiology and Biostatistics, University of Georgia, Athens, GA 30602, USA;3. Department of Statistical Science, Southern Methodist University, 3225 Daniel Avenue, PO Box 750332, Dallas, TX 75275-0332, USA;1. Statistical Inference, Decision, and OR group & Centro de Investigaciones Biomédicas (CINBIO), University of Vigo, Lagoas - Marcosende, 36310 Vigo, Spain;2. Centre of Mathematics and Department of Mathematics and Applications, University of Minho - Campus de Azurém, 4800-058 Guimarães, Portugal;1. Institute of Applied Mathematics, Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China;2. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hong Kong;3. Hong Kong Polytechnic University Shenzhen Research Institute, Shenzhen, China;4. Dalla Lana School of Public Health, University of Toronto, Toronto, Canada;1. Institute of Statistical Science, Academia Sinica, Taiwan;2. Department of Biostatistics, University of Washington, USA;1. Department of Statistics, Kangwon National University, Chuncheon, South Korea;2. Division of Biostatistics, Research Institute of Convergence for Biomedical Science and Technology, Pusan National University Yangsan Hospital, Yangsan, South Korea |
| |
| Abstract: | Powell (J. Econometrics 25 (1984) 303) considered censored regression model, and established the asymptotic normality of the least absolute deviation (LAD) estimator. But the asymptotic covariance matrices depend on the error density and are therefore difficult to estimate reliably. In the earlier papers, this difficulty may be solved by applying the bootstrap method (see, e.g., Hahn (J. Econometric Theory 11 (1995) 105); Bilias et al. (J. Econometrics 99 (2000) 373). In this paper we propose a random weighting method to approximate the distribution of the LAD estimator. The random weighting method was developed by Rubin (Ann. Statist. 9 (1981) 130), Lo (Ann. Statist. 15 (1987) 360), Tu and Zheng (Chinese J. Appl. Probab. Statist. 3 (1987) 340) with reference to some statistics such as the sample mean. Rao and Zhao (Sankhya 54 (1992) 323) applied random weighting method to approximate asymptotic distribution of M-estimators in regression models. In this paper we extend this method to the censored regression model. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
