SIMEX estimation for single-index model with covariate measurement error

DOI10.1007/S10182-018-0327-6MaRDI QIDQ2324316zbMATH OpenOpenAlexFDO

Authors Yiping Yang, Tiejun Tong, Gaorong Li

Publication date 11 September 2019

Published in AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.06653

zbMATH Keywords

estimating equationlocal linear smoothermeasurement errorSIMEXsimulation-extrapolationsingle-index model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric regression and quantile regression (62G08) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Abstract: In this paper, we consider the single-index measurement error model with mismeasured covariates in the nonparametric part. To solve the problem, we develop a simulation-extrapolation (SIMEX) algorithm based on the local linear smoother and the estimating equation. For the proposed SIMEX estimation, it is not needed to assume the distribution of the unobserved covariate. We transform the boundary of a unit ball in $mathbb{R}^p$ to the interior of a unit ball in $mathbb{R}^{p-1}$ by using the constraint $$. The proposed SIMEX estimator of the index parameter is shown to be asymptotically normal under some regularity conditions. We also derive the asymptotic bias and variance of the estimator of the unknown link function. Finally, the performance of the proposed method is examined by simulation studies and is illustrated by a real data example.

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