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Adaptive confidence region for the direction in semiparametric regressions

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Listed:
  • Li, Gao-Rong
  • Zhu, Li-Ping
  • Zhu, Li-Xing

Abstract

In this paper we aim to construct adaptive confidence region for the direction of [xi] in semiparametric models of the form Y=G([xi]TX,[epsilon]) where G([dot operator]) is an unknown link function, [epsilon] is an independent error, and [xi] is a pnx1 vector. To recover the direction of [xi], we first propose an inverse regression approach regardless of the link function G([dot operator]); to construct a data-driven confidence region for the direction of [xi], we implement the empirical likelihood method. Unlike many existing literature, we need not estimate the link function G([dot operator]) or its derivative. When pn remains fixed, the empirical likelihood ratio without bias correlation can be asymptotically standard chi-square. Moreover, the asymptotic normality of the empirical likelihood ratio holds true even when the dimension pn follows the rate of pn=o(n1/4) where n is the sample size. Simulation studies are carried out to assess the performance of our proposal, and a real data set is analyzed for further illustration.

Suggested Citation

  • Li, Gao-Rong & Zhu, Li-Ping & Zhu, Li-Xing, 2010. "Adaptive confidence region for the direction in semiparametric regressions," Journal of Multivariate Analysis, Elsevier, vol. 101(6), pages 1364-1377, July.
    • Handle: RePEc:eee:jmvana:v:101:y:2010:i:6:p:1364-1377
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    References listed on IDEAS

    as
    1. Lixing Zhu & Liugen Xue, 2006. "Empirical likelihood confidence regions in a partially linear single‐index model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 68(3), pages 549-570, June.
    2. Li, Gaorong & Zhu, Lixing & Xue, Liugen & Feng, Sanying, 2010. "Empirical likelihood inference in partially linear single-index models for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 101(3), pages 718-732, March.
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    6. Xue, Liugen & Zhu, Lixing, 2007. "Empirical Likelihood for a Varying Coefficient Model With Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 642-654, June.
    7. Xue, Liu-Gen & Zhu, Lixing, 2006. "Empirical likelihood for single-index models," Journal of Multivariate Analysis, Elsevier, vol. 97(6), pages 1295-1312, July.
    8. Zhu, Li-Ping & Zhu, Li-Xing, 2009. "Nonconcave penalized inverse regression in single-index models with high dimensional predictors," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 862-875, May.
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