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| 纵向数据单指标模型中参数的经验似然置信域 | |
| 引用本文： | 李高荣,冯三营,薛留根.纵向数据单指标模型中参数的经验似然置信域[J].应用概率统计,2010,26(2):190-206. |
| 作者姓名： | 李高荣 冯三营 薛留根 |
| 作者单位： | 1. 北京工业大学应用数理学院,北京,100124;华东师范大学金融与统计学院,上海,200241 2. 洛阳师范学院数学科学学院,洛阳,471022 3. 北京工业大学应用数理学院,北京,100124 |
| 基金项目： | 中国博士后科学基金，上海市博士后科研资助计划项目，国家自然科学基金，北京市自然科学基金，国家教育部博士点专项基金，北京市属市管高等学校人才强校计划项目，北京工业大学博士启动基金和河南省自然科学研究项目 |
| 摘 要： | 考虑纵向数据单指标模型,针对纵向数据组间独立的特点,提出了模型中未知参数的三种经验对数似然比统计量.在适当条件下,证明了所提出的统计量依分布收敛于x~2分布,所得结果可以构造未知参数的置信域.进一步证明了所提出的纠偏的经验对数似然比有许多优良的性质.通过模拟研究对所提方法进行了说明. |
| 关 键 词： | 纵向数据 单指标模型 经验似然 置信域. |
Empirical Likelihood Confidence Regions of the Parametersin Single-Index Models for Longitudinal Data |
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| LI GAORONG,FENG SANYING,XUE LIUGEN.Empirical Likelihood Confidence Regions of the Parametersin Single-Index Models for Longitudinal Data[J].Chinese Journal of Applied Probability and Statisties,2010,26(2):190-206. | |
| Authors: | LI GAORONG FENG SANYING XUE LIUGEN |
| Institution: | College of Applied Sciences,Beijing University of Technology School of Finance and Statistics,East China Normal University College of Mathematics and Science,Luoyang Normal University |
| Abstract: | In this paper, the single-index modelfor longitudinal data is considered, three empirical log-likelihoodratio statistics for the unknown parameters in the model aresuggested to accommodate the independence of different subjects forlongitudinal data. It is proved that the proposed statistics areasymptotically chi-square distribution under some suitableconditions, and hence they can be used to construct the confidenceregions of the parameters. Furthermore, it is shown that the biascorrected empirical log-likelihood ratio shares some desiredfeatures. A simulation study is conducted to illustrate ourmethods. |
| Keywords: | Longitudinal data single-index model empirical likelihood confidence region |
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