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Author:

Xue, LG (Xue, LG.) (Scholars:薛留根) | Zhu, LX (Zhu, LX.)

Indexed by:

Scopus SCIE

Abstract:

The empirical likelihood method is especially useful for constructing confidence intervals or regions of the parameter of interest. This method has been extensively applied to linear regression and generalized linear regression models. In this paper, the empirical likelihood method for single-index regression models is studied. An estimated empirical log-likelihood approach to construct the confidence region of the regression parameter is developed. An adjusted empirical log-likelihood ratio is proved to be asymptotically standard chi-square. A simulation study indicates that compared with a normal approximation-based approach, the proposed method described herein works better in terms of coverage probabilities and areas (lengths) of confidence regions (intervals). (c) 2005 Elsevier Inc. All rights reserved.

Keyword:

empirical likelihood single-index model confidence region

Author Community:

  • [ 1 ] Beijing Univ Technol, Coll Appl Sci, Beijing 100022, Peoples R China
  • [ 2 ] Hong Kong Baptist Univ, Dept Math, Hong Kong, Hong Kong, Peoples R China

Reprint Author's Address:

  • 薛留根

    [Xue, LG]Beijing Univ Technol, Coll Appl Sci, 100 Pinle Yuan, Beijing 100022, Peoples R China

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Source :

JOURNAL OF MULTIVARIATE ANALYSIS

ISSN: 0047-259X

Year: 2006

Issue: 6

Volume: 97

Page: 1295-1312

1 . 6 0 0

JCR@2022

ESI Discipline: MATHEMATICS;

JCR Journal Grade:3

Cited Count:

WoS CC Cited Count: 86

SCOPUS Cited Count: 84

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 1

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