Model averaging for right censored data with measurement error

Zhongqi Liang (), Caiya Zhang () and Linjun Xu ()
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Zhongqi Liang: Hangzhou City University
Caiya Zhang: Hangzhou City University
Linjun Xu: Zhejiang Gongshang University

Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, 2024, vol. 30, issue 2, No 9, 527 pages

Abstract: Abstract This paper studies a novel model averaging estimation issue for linear regression models when the responses are right censored and the covariates are measured with error. A novel weighted Mallows-type criterion is proposed for the considered issue by introducing multiple candidate models. The weight vector for model averaging is selected by minimizing the proposed criterion. Under some regularity conditions, the asymptotic optimality of the selected weight vector is established in terms of its ability to achieve the lowest squared loss asymptotically. Simulation results show that the proposed method is superior to the other existing related methods. A real data example is provided to supplement the actual performance.

Keywords: Asymptotic optimality; Heteroscedasticity; Measurement error; Model averaging; Right censoring; 62F12; 62F99; 62J05 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s10985-024-09620-3

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