Abstract
This paper considers estimation of the semiparametric multi-index model with missing covariates at random. A weighted estimating equation is suggested by invoking the inverse selection probability approach, and estimators of the indices are respectively defined when the selection probability is known in advance, is estimated parametrically and nonparametrically. The consistency is provided. For the single-index model, the large sample properties show that the estimators with both parametric and nonparametric plug-in estimations can play an important role to achieve smaller limiting variances than the estimator with the true selection probability. Simulation studies are carried out to assess the finite sample performance of the proposed estimators. The proposed methods are applied to an AIDS clinical trials dataset to examine which method could be more efficient. A horse colic dataset is also analyzed for illustration.
Original language | English |
---|---|
Pages (from-to) | 345-363 |
Number of pages | 19 |
Journal | Journal of Multivariate Analysis |
Volume | 123 |
DOIs | |
Publication status | Published - Jan 2014 |
User-Defined Keywords
- Covariates missing at random
- Inverse selection probability
- Multi-index model
- Single-index model