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敛率;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: Based on the proposed model, this paper first approximates the single-index functions in the model using the linear expansion of B-spline basis functions, and thoroughly investigates the parameter estimation of the joint partially linear single-index model for the location, scale, and skewness parameters under the skew-normal distribution, with the corresponding estimation algorithm developed. Next, given the complexity of the single-index model, we construct a likelihood ratio test statistic to examine whether the model follows a partially linear single-index specification or a linear specification, and propose a parametric bootstrap procedure for the test. Furthermore, to theoretically justify the performance of the proposed estimators, we rigorously derive the relevant asymptotic properties of the joint partially linear single-index model, including the consistency and convergence rates of the estimators. In addition, we conduct an extensive numerical simulation study to evaluate the finite-sample performance of the proposed parameter estimation method and the likelihood ratio test statistic under various sample sizes. Finally, we apply the joint partially linear single-index model to the ragweed pollen concentration data, and compare it with several competing linear and semiparametric models. Using the model selection criterion AIC and the likelihood ratio test, we demonstrate that the joint partially linear single-index model for the location, scale, and skewness parameters based on the skew-normal distribution outperforms its competing models in terms of goodness of fit.

     

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