Effective identification and estimation for the semiparametric measurement error model

doi:10.1016/j.jkss.2016.05.005

CORC > 上海财经大学 > 上海财经大学

	Effective identification and estimation for the semiparametric measurement error model
	Li, Rui 1,2; Hao, Ruili 3,4
刊名	JOURNAL OF THE KOREAN STATISTICAL SOCIETY
	2017-03
卷号	46 期号:1 页码:1-14
关键词	Finite difference Measurement error Oracle property SCAD penalty Variable selection
ISSN号	1226-3192
DOI	10.1016/j.jkss.2016.05.005
英文摘要	In this paper, we study the identification and estimation of a varying coefficient partially linear model with both the error-prone and redundant covariates. By employing a finite difference method, we remove the nonparametric component from model first and propose a bias-corrected procedure for constructing an efficient parametric estimator. Then, a plugin estimator of nonparametric function using spline approximation is constructed and the corresponding asymptotic properties are established. When the mean component of the model contains both measurement error and redundant regressors, we further identify the significant covariates by using the smoothly clipped absolute deviation (Fan and Li, 2001) penalty and show that the resultant shrinking estimators have the oracle property that is possible most optimal for variable selection. Numerical experiments and an example of application are also illustrated to evaluate the finite sample performance of our approach. (C) 2016 The Korean Statistical Society. Published by Elsevier B.V. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	KOREAN STATISTICAL SOC
WOS记录号	WOS:000395229600001
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1019]
专题	上海财经大学
通讯作者	Li, Rui
作者单位	1.Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 3.Shanghai Finance Univ, Sch Math & Stat, Shanghai 201209, Peoples R China; 4.Shanghai Key Lab Financial Informat Technol, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Li, Rui,Hao, Ruili. Effective identification and estimation for the semiparametric measurement error model[J]. JOURNAL OF THE KOREAN STATISTICAL SOCIETY,2017,46(1):1-14.
APA	Li, Rui,&Hao, Ruili.(2017).Effective identification and estimation for the semiparametric measurement error model.JOURNAL OF THE KOREAN STATISTICAL SOCIETY,46(1),1-14.
MLA	Li, Rui,et al."Effective identification and estimation for the semiparametric measurement error model".JOURNAL OF THE KOREAN STATISTICAL SOCIETY 46.1(2017):1-14.