周妮文, 陈菲菲. 响应变量随机缺失下交并模型检验[J]. 应用概率统计, 2022, 38(3): 379-401. DOI: 10.3969/j.issn.1001-4268.2022.03.005
引用本文: 周妮文, 陈菲菲. 响应变量随机缺失下交并模型检验[J]. 应用概率统计, 2022, 38(3): 379-401. DOI: 10.3969/j.issn.1001-4268.2022.03.005
ZHOU Niwen, CHEN Feifei. Intersection-Union Model Specification Test with Response Missing at Random[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(3): 379-401. DOI: 10.3969/j.issn.1001-4268.2022.03.005
Citation: ZHOU Niwen, CHEN Feifei. Intersection-Union Model Specification Test with Response Missing at Random[J]. Chinese Journal of Applied Probability and Statistics, 2022, 38(3): 379-401. DOI: 10.3969/j.issn.1001-4268.2022.03.005

响应变量随机缺失下交并模型检验

Intersection-Union Model Specification Test with Response Missing at Random

  • 摘要: 当响应变量随机缺失时,对感兴趣的参数进行统计推断过程中,常见的两个工作模型为回归函数模型及选择概率模型.为避免由于模型设定错误所带来的推断偏差, 针对回归函数模型及选择概率模型进行模型检验是必要且有意义的. 为此,本文首次将特征函数分别应用于响应变量随机缺失及响应变量为离散变量的模型检验问题, 构造了基于样本点间欧氏距离的检验统计量.所提检验避免了平滑参数如带宽的选择,同时能够以最快的参数速度检测到局部备择假设. 进一步,本文将交并检验理论与模型检验理论相结合, 针对复合原假设:两个工作模型中至少有一个模型设定正确, 提出了交并模型检验方法.该检验的一个重要应用场景为判断参数的双稳健估计是否为相合估计.本文深入研究了交并模型检验在原假设、全局备择假设及局部备择假设下的渐近性质, 并利用boostrap方法确定检验的拒绝域,研究交并模型检验在有限样本下的功效表现. 最后,本文将所提的交并模型检验方法应用于分析艾滋病研究的临床试验数据.值得一提的是, 本文所提的交并模型检验不仅具有良好的功效表现,而且方法简单易行, 对应的p-值易于计算.

     

    Abstract: When the response variables are missing randomly, in the process of statistical inference of the parameters of interest, two common working models are the regression function model and the selection probability model. In order to avoid the inference bias caused by the model setting error, the regression function model and selection probability models are necessary and meaningful for model testing. For this reason, for the first time in this paper, the feature functions are applied to the model testing problem of random missing response variables and discrete variable response variables, and a Euclidean distance between sample points is constructed based on test statistic. The proposed test avoids the selection of smoothing parameters such as bandwidth, and at the same time can detect the local alternative hypothesis at the fastest parameter speed. Further, this paper aims at the composite null hypothesis: at least one of the two working models is designed. It is correct, and a test method of the merged model is proposed. An important application scenario of this test is to determine whether the bistable estimation of the parameter is a coincident estimate. This article deeply studies the test of the merged model in the original hypothesis, the global alternative hypothesis, and the local alternative hypothesis. The asymptotic property of the following, and using the boostrap method to determine the rejection domain of the test, study the performance of the merge model test under a limited sample. Finally, this article applies the proposed merge model test method to analyze the clinical research of AIDS research Test Data. It is worth mentioning that the combined model test mentioned in this article not only has good performance, but also the method is simple and easy to implement, and the corresponding p-value is easy to calculate.

     

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