Multi-index regression models with missing covariates at random

Xu Guo, Wangli Xu, Lixing ZHU*

*Corresponding author for this work

Research output: Contribution to journalJournal articlepeer-review

9 Citations (Scopus)


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 languageEnglish
Pages (from-to)345-363
Number of pages19
JournalJournal of Multivariate Analysis
Publication statusPublished - Jan 2014

Scopus Subject Areas

  • Statistics and Probability
  • Numerical Analysis
  • Statistics, Probability and Uncertainty

User-Defined Keywords

  • Covariates missing at random
  • Inverse selection probability
  • Multi-index model
  • Single-index model


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