Semiparametric estimation and inference of variance function with large dimensional covariates

Yanyuan Ma, Liping Zhu

Research output: Contribution to journalArticle

Abstract

We investigate the simultaneous estimation and inference of the central mean subspace and central variance subspace to reduce the effective number of covariates that predict, respectively, the mean and variability of the response variable. We study the estimation, inference and efficiency properties under different scenarios, and further propose a class of locally efficient estimators when the truly efficient estimator is not practically available. This partially explains the necessity of some dimension-reduction assumptions that are commonly imposed on the conditional mean function in estimating the central variance subspace. Comprehensive simulation studies and a data analysis are performed to demonstrate the finite sample performance and efficiency gain of the locally efficient estimators in comparison with existing estimation procedures.

Original languageEnglish (US)
Pages (from-to)567-588
Number of pages22
JournalStatistica Sinica
Volume29
Issue number2
DOIs
StatePublished - Jan 1 2019

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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