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Author:

Zeng, Jie (Zeng, Jie.) | Hu, Guozhi (Hu, Guozhi.) | Cheng, Weihu (Cheng, Weihu.)

Indexed by:

Scopus SCIE

Abstract:

Instead of picking up a single ridge parameter in ridge regression, this paper considers a frequentist model averaging approach to appropriately combine the set of ridge estimators with different ridge parameters, when the response is randomly right censored. Within this context, we propose a weighted least squares ridge estimation for unknown regression parameter. A new Mallows-type weight choice criterion is then developed to allocate model weights, where the unknown distribution function of the censoring random variable is replaced by the Kaplan-Meier estimator and the covariance matrix of random errors is substituted by its averaging estimator. Under some mild conditions, we show that when the fitting model is misspecified, the resulting model averaging estimator achieves optimality in terms of minimizing the loss function. Whereas, when the fitting model is correctly specified, the model averaging estimator of the regression parameter is root-n consistent. Additionally, for the weight vector which is obtained by minimizing the new criterion, we establish its rate of convergence to the infeasible optimal weight vector. Simulation results show that our method is better than some existing methods. A real dataset is analyzed for illustration as well.

Keyword:

Censored data Mallows criterion Asymptotic optimality Ridge regression Consistency

Author Community:

  • [ 1 ] [Zeng, Jie]Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R China
  • [ 2 ] [Hu, Guozhi]Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R China
  • [ 3 ] [Cheng, Weihu]Beijing Univ Technol, Fac Sci, Beijing, Peoples R China

Reprint Author's Address:

  • [Hu, Guozhi]Hefei Normal Univ, Sch Math & Stat, Hefei, Peoples R China;;

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Source :

STATISTICS AND COMPUTING

ISSN: 0960-3174

Year: 2024

Issue: 5

Volume: 34

2 . 2 0 0

JCR@2022

Cited Count:

WoS CC Cited Count:

SCOPUS Cited Count:

ESI Highly Cited Papers on the List: 0 Unfold All

WanFang Cited Count:

Chinese Cited Count:

30 Days PV: 5

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