Multi-index regression models with missing covariates at random

Xu Guo, Wangli Xu, Lixing Zhu

Research output: Contribution to journalArticle

7 Scopus citations

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 languageEnglish (US)
Pages (from-to)345-363
Number of pages19
JournalJournal of Multivariate Analysis
Volume123
DOIs
StatePublished - Jan 1 2014

All Science Journal Classification (ASJC) codes

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

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