基于有偏正态分布的联合部分线性单指标模型的估计和检验

Estimation and test of the joint partially linear single-index model based on the skew-normal distribution

  • 摘要: 基于所建的模型,论文首先利用B-样条基函数的线性表示近似模型里的单指标函数,并详细地探讨了基于该分布的位置参数、尺度参数和偏度参数的联合部分线性单指标模型的参数估计,得到了相应的估计算法;其次,考虑到单指标模型的复杂性,论文构建了似然比检验统计量,对所建模型是采样部分线性单指标形式还是采样线性形式进行了研究,并给出了该检验的参数bootstrap方法;接着,为了在理论上说明所得估计量的性能,论文详细探讨了所建的联合部分线性单指标模型的有关渐近性质,具体包括估计量的相合性和收玫率;另外,论文通过一系列的数值模拟研究,在不同样本量下,探讨了我们所提的参数估计算法和似然比检验统计量的性能;论文最后基于豚草花粉浓度数据建立了联合部分线性单指标模型,并将其与已有的线性模型、半参数模型进行了对比研究,同时结合模型选择标准AIC和似然比检验得出基于有偏正态分布的位置参数、尺度参数和偏度参数的联合部分线性单指标模型的拟合效果优于参与竞争的模型。

     

    Abstract: This paper constructs a joint partially linear single-index model based on the skew - normal distribution (SN-PLSIM). It integrates functions, scale, and skewness parameters to address asymmetric data modeling. We approximate the single-index functions by linear combinations of B-spline basis functions and implement parameter estimation via the Newton-Raphson iterative algorithm. A likelihood ratio test statistic is developed to distinguish between the partially linear single-index form and the linear form, and we adopt a parametric bootstrap method for practical inference. The asymptotic properties of estimators, such as consistency and rates of convergence, are theoretically established. Numerical simulations verify the estimator efficiency across different sample sizes, and real data analysis of ragweed pollen concentration shows that SN-PLSIM outperforms linear and semi - parametric models, as evaluated by AIC and likelihood ratio tests.

     

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