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Estimators of regression parameters for truncated and censored data
Umeå universitet, Samhällsvetenskaplig fakultet, Statistik.
2006 (Engelska)Ingår i: Metrika, ISSN 1435-926X, Vol. 63, nr 3, s. 329-341Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

Estimators of parameters in semi-parametric left truncated and right censored regression models are proposed. In contrast to the majority of existing estimators, the proposed estimators do not require the error term of the regression model to have a symmetric distribution. In addition the estimators use asymmetric “trimming” of observations. Consistency and asymptotic normality of the estimators are shown. Finite sample properties are considered in a small simulation study. For the left truncated case, an empirical application illustrates the usefulness of the estimator.

Ort, förlag, år, upplaga, sidor
SpringerLink , 2006. Vol. 63, nr 3, s. 329-341
Nyckelord [en]
Truncated, censored, semi-parametric, regression
Identifikatorer
URN: urn:nbn:se:umu:diva-4605DOI: 10.1007/s00184-005-0023-xOAI: oai:DiVA.org:umu-4605DiVA, id: diva2:143768
Anmärkning
Ändrat till published 21/8-09Tillgänglig från: 2005-05-16 Skapad: 2005-05-16 Senast uppdaterad: 2018-06-09Bibliografiskt granskad
Ingår i avhandling
1. Estimators of semiparametric truncated and censored regression models
Öppna denna publikation i ny flik eller fönster >>Estimators of semiparametric truncated and censored regression models
2005 (Engelska)Doktorsavhandling, sammanläggning (Övrigt vetenskapligt)
Abstract [en]

This thesis contributes in several ways to the existing knowledge on estimation of truncated, censored, and left truncated right censored (LTRC) regression models. Three new semiparametric estimators are proposed, allowing for asymmetric error distributions. A bootstrap method for estimation of the covariance matrix of the quadratic mode estimator (QME) is proposed and studied. In addition, finite sample properties of estimators for truncated, censored, and LTRC data are studied within simulation studies and applications with real data.

The first paper consists of a simulation study of the QME and other estimators of truncated regression models. The paper contributes with results suggesting the bootstrap technique being potentially useful for estimation of the QME covariance matrix.

In the second paper estimators of truncated and censored semiparametric regression models are proposed. These estimators are generalizations of the QME and the winsorized mean estimator (WME) by allowing asymmetric ``trimming'' of observations. Consistency and asymptotic normality of the estimators are shown.

By combining the two moment restrictions used to derive the estimators in the second paper, a consistent estimator of LTRC regression models is proposed in the third paper.

The fourth paper contains an application where LTRC interpurchase intervals of cars are analysed. Results regarding the interpurchase behaviour of consumers are provided, as are results on estimator properties.

Ort, förlag, år, upplaga, sidor
Umeå: Umeå universitet, 2005. s. 25
Serie
Statistical studies, ISSN 1100-8989 ; 34
Nyckelord
Statistics, LTRC, consistency, asymtotic normality, bootstrap, interpurchase intervals, Statistik
Nationell ämneskategori
Sannolikhetsteori och statistik
Forskningsämne
statistik
Identifikatorer
urn:nbn:se:umu:diva-540 (URN)91-7305-891-2 (ISBN)
Distributör:
Statistik, 90187, Umeå
Disputation
2005-06-03, N450, Naturvetarhuset, Umeå Universitet, Umeå, 10:15 (Engelska)
Opponent
Handledare
Tillgänglig från: 2005-05-16 Skapad: 2005-05-16 Senast uppdaterad: 2018-06-09Bibliografiskt granskad

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Karlsson, Maria

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Totalt: 210 träffar
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