A simple resampling method by perturbing the minimand
A simple resampling method by perturbing the minimand
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DOI：
10.1093/biomet/88.2.381
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发表时间：
2001-06-01
期刊：
影响因子：
2.7
通讯作者：
Wei, LJ
中科院分区：
文献类型：
--
作者：
Jin, ZZ;Ying, ZL;Wei, LJ
假设在半参数设置下，通过优化具有U-过程结构的目标函数，得到感兴趣参数向量的估计器。估计器的协方差矩阵通常是基础密度函数的函数，这可能很难用传统方法很好地估计。本文提出了一种重复摄动目标函数的简单重采样方法。然后，可以基于所得到的优化器的大量集合来推断参数。我们用一个异方差回归模型的三个例子来说明我们的建议。
Suppose that under a semiparametric setting an estimator of a vector of parameters of interest is obtained by optimising an objective function which has a U-process structure. The covariance matrix of the estimator is generally a function of the underlying density function, which may be difficult to estimate well by conventional methods. In this paper, we present a simple resampling method by perturbing the objective function repeatedly. Inferences of the parameters can then be made based on a large collection of the resulting optimisers. We illustrate our proposal by three examples with a heteroscedastic regression model.