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Multi-index regression models with missing covariates at random

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  • Guo, Xu
  • Xu, Wangli
  • Zhu, Lixing

Abstract

This paper considers estimation of the semiparametric multi-index model with missing covariates at random. A weighted estimating equation is suggested by invoking the inverse selection probability approach, and estimators of the indices are respectively defined when the selection probability is known in advance, is estimated parametrically and nonparametrically. The consistency is provided. For the single-index model, the large sample properties show that the estimators with both parametric and nonparametric plug-in estimations can play an important role to achieve smaller limiting variances than the estimator with the true selection probability. Simulation studies are carried out to assess the finite sample performance of the proposed estimators. The proposed methods are applied to an AIDS clinical trials dataset to examine which method could be more efficient. A horse colic dataset is also analyzed for illustration.

Suggested Citation

  • Guo, Xu & Xu, Wangli & Zhu, Lixing, 2014. "Multi-index regression models with missing covariates at random," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 345-363.
  • Handle: RePEc:eee:jmvana:v:123:y:2014:i:c:p:345-363
    DOI: 10.1016/j.jmva.2013.10.006
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    References listed on IDEAS

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    6. Xia, Yingcun, 2006. "Asymptotic Distributions For Two Estimators Of The Single-Index Model," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1112-1137, December.
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    10. Liping Zhu & Tao Wang & Lixing Zhu & Louis Ferré, 2010. "Sufficient dimension reduction through discretization-expectation estimation," Biometrika, Biometrika Trust, vol. 97(2), pages 295-304.
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    Cited by:

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    2. Eric Han & Majid Mojirsheibani, 2021. "On histogram-based regression and classification with incomplete data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(5), pages 635-662, July.
    3. Huilan Liu & Hu Yang & Changgen Peng, 2019. "Weighted composite quantile regression for single index model with missing covariates at random," Computational Statistics, Springer, vol. 34(4), pages 1711-1740, December.

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