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Article: Nonparametric conditional inference for regression coefficients with application to configural polysampling
Title | Nonparametric conditional inference for regression coefficients with application to configural polysampling |
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Authors | |
Keywords | Ancillary Bandwidth Conditional inference Configural polysampling Confrontation Plug-in |
Issue Date | 2008 |
Publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ |
Citation | Statistica Sinica, 2008, v. 18 n. 1, p. 155-169 How to Cite? |
Abstract | We consider inference procedures, conditional on an observed ancillary statistic, for regression coefficients under a linear regression setup where the unknown error distribution is specified nonparametrically. We establish conditional asymptotic normality of the regression coefficient estimators under regularity conditions, and formally justify the approach of plugging in kernel-type density estimators in conditional inference procedures. Simulation results show that the approach yields accurate conditional coverage probabilities when used for constructing confidence intervals. The plug-in approach can be applied in conjunction with configural polysampling to derive robust conditional estimators adaptive to a confrontation of contrasting scenarios. We demonstrate this by investigating the conditional mean squared error of location estimators under various confrontations in a simulation study, which successfully extends configural polysampling to a nonparametric context. |
Persistent Identifier | http://hdl.handle.net/10722/57161 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.368 |
DC Field | Value | Language |
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dc.contributor.author | Ho, YHS | en_HK |
dc.contributor.author | Lee, SMS | en_HK |
dc.date.accessioned | 2010-04-12T01:27:54Z | - |
dc.date.available | 2010-04-12T01:27:54Z | - |
dc.date.issued | 2008 | en_HK |
dc.identifier.citation | Statistica Sinica, 2008, v. 18 n. 1, p. 155-169 | en_HK |
dc.identifier.issn | 1017-0405 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/57161 | - |
dc.description.abstract | We consider inference procedures, conditional on an observed ancillary statistic, for regression coefficients under a linear regression setup where the unknown error distribution is specified nonparametrically. We establish conditional asymptotic normality of the regression coefficient estimators under regularity conditions, and formally justify the approach of plugging in kernel-type density estimators in conditional inference procedures. Simulation results show that the approach yields accurate conditional coverage probabilities when used for constructing confidence intervals. The plug-in approach can be applied in conjunction with configural polysampling to derive robust conditional estimators adaptive to a confrontation of contrasting scenarios. We demonstrate this by investigating the conditional mean squared error of location estimators under various confrontations in a simulation study, which successfully extends configural polysampling to a nonparametric context. | en_HK |
dc.language | eng | en_HK |
dc.publisher | Academia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/ | en_HK |
dc.relation.ispartof | Statistica Sinica | en_HK |
dc.subject | Ancillary | en_HK |
dc.subject | Bandwidth | en_HK |
dc.subject | Conditional inference | en_HK |
dc.subject | Configural polysampling | en_HK |
dc.subject | Confrontation | en_HK |
dc.subject | Plug-in | en_HK |
dc.title | Nonparametric conditional inference for regression coefficients with application to configural polysampling | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=18&issue=1&spage=155&epage=169&date=2008&atitle=Nonparametric+conditional+inference+for+regression+coefficients+with+application+to+configural+polysampling | en_HK |
dc.identifier.email | Lee, SMS: smslee@hku.hk | en_HK |
dc.identifier.authority | Lee, SMS=rp00726 | en_HK |
dc.description.nature | published_or_final_version | en_HK |
dc.identifier.scopus | eid_2-s2.0-43049120311 | en_HK |
dc.identifier.hkuros | 150491 | - |
dc.identifier.volume | 18 | en_HK |
dc.identifier.issue | 1 | en_HK |
dc.identifier.spage | 155 | en_HK |
dc.identifier.epage | 169 | en_HK |
dc.publisher.place | Taiwan, Republic of China | en_HK |
dc.identifier.scopusauthorid | Ho, YHS=8378552000 | en_HK |
dc.identifier.scopusauthorid | Lee, SMS=24280225500 | en_HK |
dc.identifier.issnl | 1017-0405 | - |