杨宜平, 余鲁, 吴东晟. 含测量误差的复合分位数回归的SIMEX估计[J]. 应用概率统计, 2020, 36(2): 111-122. DOI: 10.3969/j.issn.1001-4268.2020.02.001
引用本文: 杨宜平, 余鲁, 吴东晟. 含测量误差的复合分位数回归的SIMEX估计[J]. 应用概率统计, 2020, 36(2): 111-122. DOI: 10.3969/j.issn.1001-4268.2020.02.001
YANG Yiping, YU Lu, WU Dongsheng. SIMEX Estimation for Composite Quantile Regression Model with Measurement Error[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(2): 111-122. DOI: 10.3969/j.issn.1001-4268.2020.02.001
Citation: YANG Yiping, YU Lu, WU Dongsheng. SIMEX Estimation for Composite Quantile Regression Model with Measurement Error[J]. Chinese Journal of Applied Probability and Statistics, 2020, 36(2): 111-122. DOI: 10.3969/j.issn.1001-4268.2020.02.001

含测量误差的复合分位数回归的SIMEX估计

SIMEX Estimation for Composite Quantile Regression Model with Measurement Error

  • 摘要: 考虑含测量误差的线性回归模型,采用模拟外推(SIMEX)方法并结合复合分位数回归构造了回归系数的估计.所得回归系数估计不仅消除了测量误差对估计造成的偏差,而且保留了复合分位数回归估计的优点. 在一些正则条件下,证明了估计的渐近性质. 模拟研究了所提出方法的有限样本性质,并进行了实例分析.

     

    Abstract: Composite quantile regression model with measurement error is considered. The SIMEX estimators of the unknown regression coefficients are proposed based on the composite quantile regression. The proposed estimators not only eliminate the bias caused by measurement error, but also retain the advantages of the composite quantile regression estimation. The asymptotic properties of the SIMEX estimation are proved under some regular conditions. The finite sample properties of the proposed method are studied by a simulation study, and a real example is analyzed.

     

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