Penalized profile least squares-based statistical inference for varying coefficient partially linear errors-in-variables models

Guo liang Fan, Han ying Liang*, Lixing ZHU

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

The purpose of this paper is two fold. First, we investigate estimation for varying coefficient partially linear models in which covariates in the nonparametric part are measured with errors. As there would be some spurious covariates in the linear part, a penalized profile least squares estimation is suggested with the assistance from smoothly clipped absolute deviation penalty. However, the estimator is often biased due to the existence of measurement errors, a bias correction is proposed such that the estimation consistency with the oracle property is proved. Second, based on the estimator, a test statistic is constructed to check a linear hypothesis of the parameters and its asymptotic properties are studied. We prove that the existence of measurement errors causes intractability of the limiting null distribution that requires a Monte Carlo approximation and the absence of the errors can lead to a chi-square limit. Furthermore, confidence regions of the parameter of interest can also be constructed. Simulation studies and a real data example are conducted to examine the performance of our estimators and test statistic.

Original languageEnglish
Pages (from-to)1677-1694
Number of pages18
JournalScience China Mathematics
Volume61
Issue number9
DOIs
Publication statusPublished - 1 Sep 2018

Scopus Subject Areas

  • Mathematics(all)

User-Defined Keywords

  • 62G08
  • 62G20
  • diverging number of parameters
  • penalized likelihood
  • SCAD
  • variable selection
  • varying coefficient partially linear model

Fingerprint

Dive into the research topics of 'Penalized profile least squares-based statistical inference for varying coefficient partially linear errors-in-variables models'. Together they form a unique fingerprint.

Cite this