Semiparametric estimators of functional measurement error models with unknown error

Peter Hall, Yanyuan Ma*

*Corresponding author for this work

    Research output: Contribution to journalArticlepeer-review

    19 Citations (Scopus)

    Abstract

    We consider functional measurement error models where the measurement error distribution is estimated non-parametrically. We derive a locally efficient semiparametric estimator but propose not to implement it owing to its numerical complexity. Instead, a plug-in estimator is proposed, where the measurement error distribution is estimated through non-parametric kernel methods based on multiple measurements. The root n consistency and asymptotic normality of the plug-in estimator are derived. Despite the theoretical inefficiency of the plug-in estimator, simulations demonstrate its near optimal performance. Computational advantages relative to the theoretically efficient estimator make the plug-in estimator practically appealing. Application of the estimator is illustrated by using the Framingham data example.

    Original languageEnglish
    Pages (from-to)429-446
    Number of pages18
    JournalJournal of the Royal Statistical Society. Series B: Statistical Methodology
    Volume69
    Issue number3
    DOIs
    Publication statusPublished - Jun 2007

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