协变量随机缺失时边际模型的广义矩估计  

GMM Estimation of Marginal Model with Missing Covariate Data

作　　者：贺婕[1] 段小刚[2] 张淑梅[2] 

机构地区：[1]北京师范大学数学科学学院,北京100875 [2]北京师范大学统计学院,北京100875

出　　处：《应用概率统计》2016年第6期643-654,共12页Chinese Journal of Applied Probability and Statistics

基　　金：国家自然科学基金项目(11171029;11301031);教育部博士点基金资助项目(273935);北京师范大学自主基金资助项目(310421102)资助

摘　　要：多元响应变量是纵向设计和横截面设计中经常遇到的一个数据类型.边际模型是探索该类数据解释变量对响应变量平均影响的一个常用工具.边际模型的一个重要特点在于,即使没有指明响应变量之间的相关结构,仍然能基于该模型构造回归参数的相合估计.本文讨论了协变量随机缺失时,边际模型回归参数的广义矩估计问题.使用逆概率加权和多个不同基底工作相关结构,我们得到了一组估计方程;本文通过极小化该估计方程组对应的二次推断函数构造目标参数的估计量.我们证明了估计量的渐近正态性,并通过随机模拟和初中数学成绩的实例分析考察了估计量的有限样本表现.The multivariate response is commonly seen in longitudinal and cross-sectional design. The marginal model is an important tool in discovering the average influence of the covariates on the response. A main feature of the marginal model is that even without specifying the inter-correlation among different components of the response, we still get consistent estimation of the regression parameters. This paper discusses the GMM estimation of marginal model when the covariates are missing at random. Using the inverse probability weighting and different basic working correlation matrices, we obtain a series of estimating equations. We estimate the parameters of interest by minimizing the corresponding quadratic inference function. Asymptotic normality of the proposed estimator is established. Simulation studies are conducted to investigate the finite sample performance of the new estimator. We also apply our proposal to a real data of mathematical achievement from middle school students.

关 键 词：广义估计方程 广义矩方法 逆概率加权 二次推断函数 

分 类 号：O211.1[理学—概率论与数理统计] O211.4[理学—数学]