Profile-kernel likelihood inference with diverging number of parameters
From MaRDI portal
Abstract: The generalized varying coefficient partially linear model with growing number of predictors arises in many contemporary scientific endeavor. In this paper we set foot on both theoretical and practical sides of profile likelihood estimation and inference. When the number of parameters grows with sample size, the existence and asymptotic normality of the profile likelihood estimator are established under some regularity conditions. Profile likelihood ratio inference for the growing number of parameters is proposed and Wilk's phenomenon is demonstrated. A new algorithm, called the accelerated profile-kernel algorithm, for computing profile-kernel estimator is proposed and investigated. Simulation studies show that the resulting estimates are as efficient as the fully iterative profile-kernel estimates. For moderate sample sizes, our proposed procedure saves much computational time over the fully iterative profile-kernel one and gives stabler estimates. A set of real data is analyzed using our proposed algorithm.
Recommendations
- Profile likelihood inferences on the partially linear model with a diverging number of parameters
- Profile statistical inference for partially linear additive models with a diverging number of parameters
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- Statistical inference for semiparametric varying-coefficient partially linear models with a diverging number of components
- Empirical likelihood for a varying coefficient partially linear model with diverging number of parameters
Cites work
- scientific article; zbMATH DE number 47310 (Why is no real title available?)
- scientific article; zbMATH DE number 472973 (Why is no real title available?)
- scientific article; zbMATH DE number 222649 (Why is no real title available?)
- scientific article; zbMATH DE number 5224919 (Why is no real title available?)
- An elementary estimator of the partial linear model
- Asymptotic Statistics
- Asymptotic behavior of likelihood methods for exponential families when the number of parameters tends to infinity
- Central limit theorems for C(S)-valued random variables
- Efficient Estimation and Inferences for Varying-Coefficient Models
- Efficient estimation for semivarying-coefficient models
- Efficient estimation of a semiparametric partially linear varying coefficient model
- Generalized likelihood ratio statistics and Wilks phenomenon
- Local polynomial fitting in semivarying coefficient model
- Nonconcave penalized likelihood with a diverging number of parameters.
- On Profile Likelihood
- One-Step Huber Estimates in the Linear Model
- Profile likelihood and conditionally parametric models
- Profile likelihood inferences on semiparametric varying-coefficient partially linear models
- Profile-kernel likelihood inference with diverging number of parameters
- Profile-kernel versus backfitting in the partially linear models for longitudinal/clustered data
- Robust regression: Asymptotics, conjectures and Monte Carlo
- Semilinear High-Dimensional Model for Normalization of Microarray Data
- Semiparametric Estimation in General Repeated Measures Problems
- Statistical challenges with high dimensionality: feature selection in knowledge discovery
- The Stochastic Difference Between Econometric Statistics
- Variable selection in semiparametric regression modeling
Cited in
(76)- Shrinkage estimation of dynamic panel data models with interactive fixed effects
- Combined-penalized likelihood estimations with a diverging number of parameters
- Partial linear model averaging prediction for longitudinal data
- Identifying latent grouped patterns in cointegrated panels
- Using thresholding difference-based estimators for variable selection in partial linear models
- Penalized empirical likelihood for high-dimensional partially linear varying coefficient model with measurement errors
- SIGNIFICANT VARIABLE SELECTION AND AUTOREGRESSIVE ORDER DETERMINATION FOR TIME‐SERIES PARTIALLY LINEAR MODELS
- Jackknife model averaging for quantile regressions
- Robust estimation and variable selection for semiparametric partially linear varying coefficient model based on modal regression
- Asymptotics of the general GEE estimator for high-dimensional longitudinal data
- Penalized empirical likelihood for semiparametric models with a diverging number of parameters
- Bias-correction for Weibull common shape estimation
- Semi-parametric small area inference in generalized semi-varying coefficient mixed effects models
- Semiparametric Stochastic Frontier Estimation via Profile Likelihood
- Empirical likelihood for a varying coefficient partially linear model with diverging number of parameters
- Shrinkage estimation of regression models with multiple structural changes
- Penalized least-squares estimation for regression coefficients in high-dimensional partially linear models
- Jackknife empirical likelihood of error variance for partially linear varying-coefficient model with missing covariates
- Statistical inference for semiparametric varying-coefficient partially linear models with a diverging number of components
- Distributed one-step upgraded estimation for non-uniformly and non-randomly distributed data
- Profile-kernel likelihood inference with diverging number of parameters
- Quantile regression for partially linear varying-coefficient model with censoring indicators missing at random
- New efficient estimation and variable selection methods for semiparametric varying-coefficient partially linear models
- A Mallows-type model averaging estimator for the varying-coefficient partially linear model
- B-spline estimation for semiparametric varying-coefficient partially linear regression with spatial data
- Asymptotic properties of GEE estimator for clustered ordinal data with high-dimensional covariates
- Composite quantile regression for massive datasets
- Profile likelihood inferences on the partially linear model with a diverging number of parameters
- Semi-varying coefficient panel data model with technical indicators predicts stock returns in financial market
- On the adaptive elastic net with a diverging number of parameters
- Semi-parametric inference for semi-varying coefficient panel data model with individual effects
- A difference based approach to the semiparametric partial linear model
- Quadratic approximation for nonconvex penalized estimations with a diverging number of parameters
- A flexible semiparametric forecasting model for time series
- scientific article; zbMATH DE number 7594588 (Why is no real title available?)
- Component selection in the additive regression model
- Exponentially tilted likelihood inference on growing dimensional unconditional moment models
- Estimation and inference in generalized additive coefficient models for nonlinear interactions with high-dimensional covariates
- Spline estimator for simultaneous variable selection and constant coefficient identification in high-dimensional generalized varying-coefficient models
- Variable selection for semiparametric varying coefficient partially linear model based on modal regression with missing data
- Variable selection for partially varying coefficient model based on modal regression under high dimensional data
- Statistical inference for nonignorable missing-data problems: a selective review
- Partially functional linear varying coefficient model
- GEE analysis of clustered binary data with diverging number of covariates
- Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso
- Identifying latent grouped patterns in panel data models with interactive fixed effects
- Varying Coefficient Regression Models: A Review and New Developments
- Robust and efficient variable selection for semiparametric partially linear varying coefficient model based on modal regression
- Robust variable selection for nonlinear models with diverging number of parameters
- Generalized additive partial linear models with high-dimensional covariates
- Robust smooth-threshold estimating equations for generalized varying-coefficient partially linear models based on exponential score function
- Functional coefficient autoregressive conditional root model
- Profile statistical inference for partially linear additive models with a diverging number of parameters
- On the oracle property of a generalized adaptive elastic-net for multivariate linear regression with a diverging number of parameters
- Semiparametric quasi-likelihood estimation with missing data
- Empirical likelihood for high-dimensional partially functional linear model
- Estimation in quantile regression models for correlated data with diverging number of covariates and large cluster sizes
- Two adjusted empirical-likelihood-based methods in generalized varying-coefficient partially linear model
- Variable selection in partially time-varying coefficient models
- Variable selection for high-dimensional varying coefficient partially linear models via nonconcave penalty
- Variable selection in measurement error models
- High-dimensional VARs with common factors
- Asymptotic efficiency of ridge estimator in linear and semiparametric linear models
- Statistical estimation in generalized multiparameter likelihood models
- GMM and misspecification correction for misspecified models with diverging number of parameters
- Effective identification and estimation for the semiparametric measurement error model
- Variable selection for generalized varying coefficient partially linear models with diverging number of parameters
- Profile forward regression screening for ultra-high dimensional semiparametric varying coefficient partially linear models
- Polynomial spline estimation for generalized varying coefficient partially linear models with a diverging number of components
- Nonconcave penalized estimation for partially linear models with longitudinal data
- A profile-type smoothed score function for a varying coefficient partially linear model
- Calibration of the empirical likelihood for semiparametric varying-coefficient partially linear models with diverging number of parameters
- Identifying latent group structures in nonlinear panels
- Partially linear additive quantile regression in ultra-high dimension
- Measuring the symmetry of model errors for varying coefficient regression models based on correlation coefficient
- A semiparametric model for cluster data
This page was built for publication: Profile-kernel likelihood inference with diverging number of parameters
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q955140)
