纵向数据下变系数模型的一种稳健同质寻踪算法

doi:10.52396/JUST-2021-0054

中国科学技术大学学报 ›› 2021, Vol. 51 ›› Issue (12): 857-867.DOI: 10.52396/JUST-2021-0054

• 研究论文 • 下一篇

纵向数据下变系数模型的一种稳健同质寻踪算法

汤恒, 郑智, 张伟平^*

中国科学技术大学管理学院统计与金融系,安徽合肥 230026

收稿日期:2021-02-22 修回日期:2021-03-20 出版日期:2021-12-31 发布日期:2022-01-11
通讯作者: *E-mail:zwp@ustc.edu.cn

A robust homogeneity pursuit algorithm for varying coefficient models with longitudinal data

TANG Heng, ZHENG Zhi, ZHANG Weiping^*

Department of Statistics and Finance, School of Management, University of Science and Technology of China, Hefei 230026, China

Received:2021-02-22 Revised:2021-03-20 Online:2021-12-31 Published:2022-01-11
Contact: *E-mail: zwp@ustc.edu.cn

摘要/Abstract

摘要： 探讨了变系数模型中参系数函数的同质性,其中同一个子群中的个体的系数函数是相同的.在重复观测的条件下,我们用B样条来拟合变系数模型的系数函数,同时用变点检测的方法来进行子群识别.为了解释可能的异常值或重尾分布,我们在M估计的框架下拟合系数函数,在本文中以绝对值(LAD)损失为例.模拟数据表明,当模拟数据集存在异常值或参数函数为重尾分布时,我们的估计方法优于常用的最小二乘(LS)估计.

关键词: 变系数模型, M估计, B样条, 变点检测, 同质寻踪

Abstract: This article explores the homogeneity of coefficient functions in varying coefficient models where individuals can be classified into different subgroups for each covariate where its varying coefficients are homogeneous in the same subgroup. With repeated measurements, we use B-spline function approximations and the change point detection algorithm to identify the homogeneity. To account for the potential outliers or heavy-tailedness of the observed distribution, we propose to estimate the coefficient functions under the framework of M-estimation, and use least absolute deviation (LAD) loss as an example. Numerical results show that our estimators outperform the commonly used least squares (LS) estimators when existing outliers and heavy-tailedness of observed distribution.

Key words: varying coefficient model, M-estimator, B-spline functions, change point detection, homogeneity pursuit

中图分类号:

O212.1

汤恒, 郑智, 张伟平. 纵向数据下变系数模型的一种稳健同质寻踪算法[J]. 中国科学技术大学学报, 2021, 51(12): 857-867.

TANG Heng, ZHENG Zhi, ZHANG Weiping. A robust homogeneity pursuit algorithm for varying coefficient models with longitudinal data[J]. Journal of University of Science and Technology of China, 2021, 51(12): 857-867.

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纵向数据下变系数模型的一种稳健同质寻踪算法

A robust homogeneity pursuit algorithm for varying coefficient models with longitudinal data

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