冯三营, 牛惠芳, 薛留根. 变系数EV模型的局部纠偏经验似然[J]. 应用概率统计, 2010, 26(4): 427-436.
引用本文: 冯三营, 牛惠芳, 薛留根. 变系数EV模型的局部纠偏经验似然[J]. 应用概率统计, 2010, 26(4): 427-436.
Feng Sanying, Niu Huifang, Xue Liugen. Local Bias-Corrected Empirical Likelihood in a Varying-Coefficient Errors-in-Variables Model[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(4): 427-436.
Citation: Feng Sanying, Niu Huifang, Xue Liugen. Local Bias-Corrected Empirical Likelihood in a Varying-Coefficient Errors-in-Variables Model[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(4): 427-436.

变系数EV模型的局部纠偏经验似然

Local Bias-Corrected Empirical Likelihood in a Varying-Coefficient Errors-in-Variables Model

  • 摘要: 本文研究变系数EV模型, 构造了未知系数函数的局部纠偏经验对数似然比统计量, 在适当条件下, 证明了所提出的统计量都具有渐近\chi^2分布, 所得结果可以用来构造未知系数函数的逐点置信域. 通过模拟研究比较了经验似然方法与正态逼近方法在逐点置信域构造方面的优劣.

     

    Abstract: In this paper, we consider the varying-coefficient errors-in-variables regression model. The local bias-corrected empirical log-likelihood ratio statistic for the unknown coefficient function is proposed. It is shown that the proposed statistic has the asymptotic chi-square distribution under some suitable conditions, and hence it can be used to construct the pointwise confidence regions of the coefficient functions. A simulation study is carried out to compare the performance of the empirical likelihood and the normal approximation method based on the pointwise confidence regions.

     

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