Wanrong Liu

Weighted least squares method for censored linear models

For estimation of linear models with randomly censored data, a class of data transformations is used to construct synthetic data. It is shown that the conditional variance of the synthetic data depends on the covariates in the model regardless of the homoscedasticity of the error. Therefore, linear models based on the synthetic data are always heteroscedastic models. To improve efficiency, we propose a weighted least squares (WLS) method, where the conditional variance of the synthetic data is estimated nonparametrically, then the standard WLS principle is applied to the synthetic data in the estimation procedure. The resultant estimator is asymptotically normal and the limiting variance is estimated using the plug-in method. In general, the proposed method improves the existing synthetic data methods for censored linear models, and gains more efficiency. For the censored heteroscedastic linear models, where the Buckley–James (BJ) and rank-based methods cannot be used since the condition of homoscedastic errors is violated, the new method provides a solution for better estimation. Monte Carlo simulations are conducted to compare the proposed method with the unweighted least squares method and the BJ method under different error conditions.

Semiparametric estimation for inverse density weighted expectations when responses are missing at random

When responses are missing at random, we consider semiparametric estimation of inverse density weighted expectations, or equivalently, integrals of conditional expectations. An inverse probability weighted estimator and a full propensity score weighted estimator are proposed and shown to be asymptotically normal. The two estimators are asymptotically equivalent and achieve the semiparametric efficiency bound. The performances of the estimators are investigated and compared with simulation studies and a real data example.

Penalised empirical likelihood for the additive hazards model with high-dimensional data

ABSTRACT In this article, we apply the empirical likelihood (EL) method to the additive hazards model with high-dimensional data and propose the penalised empirical likelihood (PEL) method for parameter estimation and variable selection. It is shown that the estimator based on the EL method has the efficient property, and the limit distribution of the EL ratio statistic for the parameters is a asymptotic normal distribution under the true null hypothesis. In a high-dimensional setting, we prove that the PEL method in the additive hazards model has the oracle property, that is, with probability tending to 1, and the estimator based on the PEL method for the nonzero parameters is estimation and selection consistent if the hypothesised model is true. Moreover, the PEL ratio statistic for the parameters is a distribution under the true null hypothesis. The performance of the proposed methods is illustrated via a real data application and numerical simulations.

Two-sample high-dimensional empirical likelihood

ABSTRACT In this paper, we apply empirical likelihood for two-sample problems with growing high dimensionality. Our results are demonstrated for constructing confidence regions for the difference of the means of two p-dimensional samples and the difference in value between coefficients of two p-dimensional sample linear model. We show that empirical likelihood based estimator has the efficient property. That is, as p → ∞ for high-dimensional data, the limit distribution of the EL ratio statistic for the difference of the means of two samples and the difference in value between coefficients of two-sample linear model is asymptotic normal distribution. Furthermore, empirical likelihood (EL) gives efficient estimator for regression coefficients in linear models, and can be as efficient as a parametric approach. The performance of the proposed method is illustrated via numerical simulations.

Empirical Likelihood for the Additive Hazards Model with Current Status Data

We investigate empirical likelihood for the additive hazards model with current status data. An empirical log-likelihood ratio for a vector or subvector of regression parameters is defined and its limiting distribution is shown to be a standard chi-squared distribution. The proposed inference procedure enables us to make empirical likelihood-based inference for the regression parameters. Finite sample performance of the proposed method is assessed in simulation studies to compare with that of a normal approximation method, it shows that the empirical likelihood method provides more accurate inference than the normal approximation method. A real data example is used for illustration.

On Local Polynomial Modelling of the Additive Risk Model

The additive risk model provides an alternative modelling technique for failure time data to the proportional hazards model. In this article, we consider the additive risk model with a nonparametric risk effect. We study estimation of the risk function and its derivatives with a parametric and an unspecified baseline hazard function respectively. The resulting estimators are the local likelihood and the local score estimators. We establish the asymptotic normality of the estimators and show that both methods have the same formula for asymptotic bias but different formula for variance. It is found that, in some special cases, the local score estimator is of the same efficiency as the local likelihood estimator though it does not use the information about the baseline hazard function. Another advantage of the local score estimator is that it has a closed form and is easy to implement. Some simulation studies are conducted to evaluate and compare the performance of the two estimators. A numerical example is used for illustration.