SIMEX estimation for single-index model with covariate measurement error

DOI10.1007/S10182-018-0327-6zbMATH Open1427.62022arXiv1611.06653OpenAlexW2550910743MaRDI QIDQ2324316FDOQ2324316

Authors: Yiping Yang, Tiejun Tong, Gaorong Li 

Publication date: 11 September 2019

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

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.

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

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zbMATH Keywords

estimating equationmeasurement errorsingle-index modellocal linear smootherSIMEXsimulation-extrapolation

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)

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Cited In (44)

• Parametric hypothesis tests for exponentiality under multiplicative distortion measurement errors data
• Logarithmic calibration for nonparametric multiplicative distortion measurement errors models
• Varying-coefficient single-index measurement error model
• Nonparametric multiplicative distortion measurement errors models with bias reduction
• Statistical inference for a single-index varying coefficient model with measurement errors in all covariates
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• Testing symmetry of model errors for non linear multiplicative distortion measurement error models
• Absolute logarithmic calibration for correlation coefficient with multiplicative distortion
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• Modal linear regression models with additive distortion measurement errors
• SIMEX method for censored quantile regression with measurement error
• Semiparametric estimation for cure survival model with left-truncated and right-censored data and covariate measurement error
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