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Empirical Likelihood Semiparametric Regression Analysis under Random Censorship

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  • Wang, Qi-Hua
  • Li, Gang

Abstract

This paper considers large sample inference for the regression parameter in a partly linear model for right censored data. We introduce an estimated empirical likelihood for the regression parameter and show that its limiting distribution is a mixture of central chi-squared distributions. A Monte Carlo method is proposed to approximate the limiting distribution. This enables one to make empirical likelihood-based inference for the regression parameter. We also develop an adjusted empirical likelihood method which only appeals to standard chi-square tables. Finite sample performance of the proposed methods is illustrated in a simulation study.

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  • Wang, Qi-Hua & Li, Gang, 2002. "Empirical Likelihood Semiparametric Regression Analysis under Random Censorship," Journal of Multivariate Analysis, Elsevier, vol. 83(2), pages 469-486, November.
    • Handle: RePEc:eee:jmvana:v:83:y:2002:i:2:p:469-486
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    References listed on IDEAS

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    1. Chen, S. X., 1994. "Empirical Likelihood Confidence Intervals for Linear Regression Coefficients," Journal of Multivariate Analysis, Elsevier, vol. 49(1), pages 24-40, April.
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    5. Wang, Qi-Hua & Jing, Bing-Yi, 1999. "Empirical likelihood for partial linear models with fixed designs," Statistics & Probability Letters, Elsevier, vol. 41(4), pages 425-433, February.
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    Cited by:

    1. Hua Liang & Yongsong Qin & Xinyu Zhang & David Ruppert, 2009. "Empirical Likelihood‐Based Inferences for Generalized Partially Linear Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 433-443, September.
    2. Peixin Zhao, 2013. "Adjusted Empirical Likelihood for Varying Coefficient Partially Linear Models with Censored Data," Journal of Mathematics, Hindawi, vol. 2013, pages 1-7, January.
    3. Tang, Linjun & Zhou, Zhangong & Wu, Changchun, 2013. "Testing the linear errors-in-variables model with randomly censored data," Statistics & Probability Letters, Elsevier, vol. 83(3), pages 875-884.
    4. Wen Yu & Yunting Sun & Ming Zheng, 2011. "Empirical likelihood method for linear transformation models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 63(2), pages 331-346, April.
    5. Wang, Qihua & Sun, Zhihua, 2007. "Estimation in partially linear models with missing responses at random," Journal of Multivariate Analysis, Elsevier, vol. 98(7), pages 1470-1493, August.
    6. Francesco Bravo, 2014. "Varying coefficients partially linear models with randomly censored data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(2), pages 383-412, April.
    7. Guo-Liang Fan & Han-Ying Liang & Zhen-Sheng Huang, 2012. "Empirical likelihood for partially time-varying coefficient models with dependent observations," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(1), pages 71-84.
    8. Chen, Xia & Cui, Hengjian, 2008. "Empirical likelihood inference for partial linear models under martingale difference sequence," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2895-2901, December.
    9. Huang, Zhensheng & Pang, Zhen, 2012. "Corrected empirical likelihood inference for right-censored partially linear single-index model," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 276-284.
    10. Huang, Zhensheng, 2012. "Empirical likelihood for the parametric part in partially linear errors-in-function models," Statistics & Probability Letters, Elsevier, vol. 82(1), pages 63-66.
    11. Zhensheng Huang, 2012. "Empirical likelihood for varying-coefficient single-index model with right-censored data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(1), pages 55-71, January.
    12. Zhang, Chun-Xia & Mei, Chang-Lin & Zhang, Jiang-She, 2007. "An empirical study of a test for polynomial relationships in randomly right censored regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6543-6556, August.
    13. Yongcheng Qi, 2010. "On the tail index of a heavy tailed distribution," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 62(2), pages 277-298, April.
    14. Dursun AYDIN & Ersin YILMAZ, 2017. "Bandwidth Selection Problem for Nonparametric Regression Model with Right-Censored Data," Romanian Statistical Review, Romanian Statistical Review, vol. 65(2), pages 81-104, June.
    15. Qibing Gao & Xiuqing Zhou & Yanqin Feng & Xiuli Du & XiaoXiao Liu, 2021. "An empirical likelihood method for quantile regression models with censored data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(1), pages 75-96, January.

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