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Spline-based sieve maximum likelihood estimation in the partly linear model under monotonicity constraints

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  • Lu, Minggen

Abstract

We study a spline-based likelihood method for the partly linear model with monotonicity constraints. We use monotone B-splines to approximate the monotone nonparametric function and apply the generalized Rosen algorithm to compute the estimators jointly. We show that the spline estimator of the nonparametric component achieves the possible optimal rate of convergence under the smooth assumption and that the estimator of the regression parameter is asymptotically normal and efficient. Moreover, a spline-based semiparametric likelihood ratio test is established to make inference of the regression parameter. Also an observed profile information method to consistently estimate the standard error of the spline estimator of the regression parameter is proposed. A simulation study is conducted to evaluate the finite sample performance of the proposed method. The method is illustrated by an air pollution study.

Suggested Citation

  • Lu, Minggen, 2010. "Spline-based sieve maximum likelihood estimation in the partly linear model under monotonicity constraints," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2528-2542, November.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:10:p:2528-2542
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    1. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
    2. Lu, Minggen & Zhang, Ying & Huang, Jian, 2009. "Semiparametric Estimation Methods for Panel Count Data Using Monotone B-Splines," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1060-1070.
    3. Minggen Lu & Ying Zhang & Jian Huang, 2007. "Estimation of the mean function with panel count data using monotone polynomial splines," Biometrika, Biometrika Trust, vol. 94(3), pages 705-718.
    4. Jamshidian, Mortaza, 2004. "On algorithms for restricted maximum likelihood estimation," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 137-157, March.
    5. Hamilton, Scott A. & Truong, Young K., 1997. "Local Linear Estimation in Partly Linear Models," Journal of Multivariate Analysis, Elsevier, vol. 60(1), pages 1-19, January.
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    1. Du, Jiang & Sun, Zhimeng & Xie, Tianfa, 2013. "M-estimation for the partially linear regression model under monotonic constraints," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1353-1363.
    2. Ye, Mao & Lu, Zhao-Hua & Li, Yimei & Song, Xinyuan, 2019. "Finite mixture of varying coefficient model: Estimation and component selection," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 452-474.
    3. Minggen Lu, 2015. "Spline estimation of generalised monotonic regression," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 27(1), pages 19-39, March.
    4. Yudong Wang & Zhi‐Sheng Ye & Hongyuan Cao, 2021. "On computation of semiparametric maximum likelihood estimators with shape constraints," Biometrics, The International Biometric Society, vol. 77(1), pages 113-124, March.
    5. Eddie Anderson & Artem Prokhorov & Yajing Zhu, 2020. "A Simple Estimator of Two‐Dimensional Copulas, with Applications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1375-1412, December.
    6. Liang, Baosheng & Hu, Tao & Tong, Xingwei, 2015. "Spline-based sieve estimation in monotone constrained varying-coefficient partially linear EV model," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 169-175.
    7. Graciela Boente & Daniela Rodriguez & Pablo Vena, 2020. "Robust estimators in a generalized partly linear regression model under monotony constraints," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 50-89, March.

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