H-relative error estimation for multiplicative regression model with random effect

Zhanfeng Wang (), Zhuojian Chen and Zimu Chen
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Zhanfeng Wang: University of Science and Technology of China
Zhuojian Chen: University of Science and Technology of China
Zimu Chen: University of Science and Technology of China

Computational Statistics, 2018, vol. 33, issue 2, No 3, 623-638

Abstract: Abstract Relative error approaches are more of concern compared to absolute error ones such as the least square and least absolute deviation, when it needs scale invariant of output variable, for example with analyzing stock and survival data. A relative error estimation procedure based on the h-likelihood is developed to avoid heavy and intractable integration for a multiplicative regression model with random effect. Statistical properties of the parameters and random effect in the model are studied. Numerical studies including simulation and real examples show the proposed estimation procedure performs well.

Keywords: h-likelihood; Laplace approximation; Asymptotic property (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s00180-018-0798-7

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