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Article: Ratewise efficient estimation of regression coefficients based on Lp procedures

TitleRatewise efficient estimation of regression coefficients based on Lp procedures
Authors
KeywordsAdaptive
Lp estimator
M out of n bootstrap
Ratewise efficient
Regression
Issue Date2008
PublisherAcademia 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. 4, p. 1619-1640 How to Cite?
AbstractWe consider the problem of estimation of regression coefficients under general classes of error densities without assuming classical regularity conditions. Optimal orders of convergence rates of regression-equivariant estimators are established and shown to be attained in general by Lp estimators based on judicious choices of p. We develop a procedure for choosing p adaptively to yield Lp estimators that converge at approximately optimal rates. The procedure consists of a special algorithm to automatically select the correct mode of Lp estimation and the m out of n bootstrap to consistently estimate the log mean squared error of the Lp estimator. Our proposed adaptive Lp estimator is compared with other adaptive and non-adaptive Lp estimators in a simulation study, that confirms superiority of our procedure.
Persistent Identifierhttp://hdl.handle.net/10722/59882
ISSN
2015 Impact Factor: 0.838
2015 SCImago Journal Rankings: 2.292
References

 

DC FieldValueLanguage
dc.contributor.authorLai, PYen_HK
dc.contributor.authorLee, SMSen_HK
dc.date.accessioned2010-05-31T03:59:21Z-
dc.date.available2010-05-31T03:59:21Z-
dc.date.issued2008en_HK
dc.identifier.citationStatistica Sinica, 2008, v. 18 n. 4, p. 1619-1640en_HK
dc.identifier.issn1017-0405en_HK
dc.identifier.urihttp://hdl.handle.net/10722/59882-
dc.description.abstractWe consider the problem of estimation of regression coefficients under general classes of error densities without assuming classical regularity conditions. Optimal orders of convergence rates of regression-equivariant estimators are established and shown to be attained in general by Lp estimators based on judicious choices of p. We develop a procedure for choosing p adaptively to yield Lp estimators that converge at approximately optimal rates. The procedure consists of a special algorithm to automatically select the correct mode of Lp estimation and the m out of n bootstrap to consistently estimate the log mean squared error of the Lp estimator. Our proposed adaptive Lp estimator is compared with other adaptive and non-adaptive Lp estimators in a simulation study, that confirms superiority of our procedure.-
dc.languageengen_HK
dc.publisherAcademia Sinica, Institute of Statistical Science. The Journal's web site is located at http://www.stat.sinica.edu.tw/statistica/en_HK
dc.relation.ispartofStatistica Sinicaen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectAdaptive-
dc.subjectLp estimator-
dc.subjectM out of n bootstrap-
dc.subjectRatewise efficient-
dc.subjectRegression-
dc.titleRatewise efficient estimation of regression coefficients based on Lp proceduresen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1017-0405&volume=18&spage=1619&epage=1640&date=2008&atitle=Ratewise+efficient+estimation+of+regression+coefficients+based+on+Lp+proceduresen_HK
dc.identifier.emailLee, SMS: smslee@hku.hken_HK
dc.identifier.authorityLee, SMS=rp00726en_HK
dc.description.naturepublished_or_final_version-
dc.identifier.scopuseid_2-s2.0-60149096478-
dc.identifier.hkuros163464en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-60149096478&selection=ref&src=s&origin=recordpage-
dc.identifier.volume18-
dc.identifier.issue4-
dc.identifier.spage1619-
dc.identifier.epage1640-
dc.publisher.placeTaiwan, Republic of China-
dc.identifier.scopusauthoridLai, PY=8629588700-
dc.identifier.scopusauthoridLee, SMS=24280225500-

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