Corrected empirical likelihood inference for right-censored partially linear single-index model

Zhensheng Huang and Zhen Pang

Journal of Multivariate Analysis, 2012, vol. 105, issue 1, 276-284

Abstract: This article deals with the inference on a right-censored partially linear single-index model (RCPLSIM). The main focus is the local empirical likelihood-based inference on the nonparametric part in RCPLSIM. With a synthetic data approach, an empirical log-likelihood ratio statistic for the nonparametric part is defined and it is shown that its limiting distribution is not a central chi-squared distribution. To increase the accuracy of the confidence interval, we also propose a corrected empirical log-likelihood ratio statistic for the nonparametric function. The resulting statistic is proved to follow a standard chi-squared limiting distribution. Simulation studies are undertaken to assess the finite sample performance of the proposed confidence intervals. A real example is also considered.

Keywords: Confidence interval; Empirical likelihood; Partially linear single-index model; Right censoring (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:105:y:2012:i:1:p:276-284

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DOI: 10.1016/j.jmva.2011.10.002

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