An official website of the United States government
Abstract We propose an efficient estimator for the coefficients in censored quantile regression using the envelope model. The envelope model uses dimension reduction techniques to identify material and immaterial components in the data, and forms the estimator based only on the material component, thus reducing the variability of estimation. We will demonstrate the guaranteed asymptotic efficiency gain of our proposed envelope estimator over the traditional estimator for censored quantile regression. Our analysis begins with the local weighing approach that traditionally relies on semiparametric ‐estimation involving the conditional Kaplan–Meier estimator. We will instead invoke the independent identically distributed (i.i.d.) representation of the Kaplan–Meier estimator, which eliminates this infinite‐dimensional nuisance and transforms our objective function in ‐estimation into a ‐process indexed by only an Euclidean parameter. The modified ‐estimation problem becomes entirely parametric and hence more amenable to analysis. We will also reconsider the i.i.d. representation of the conditional Kaplan–Meier estimator.
more »
« less
Ensemble estimation and variable selection with semiparametric regression models
Summary We consider scenarios in which the likelihood function for a semiparametric regression model factors into separate components, with an efficient estimator of the regression parameter available for each component. An optimal weighted combination of the component estimators, named an ensemble estimator, may be employed as an overall estimate of the regression parameter, and may be fully efficient under uncorrelatedness conditions. This approach is useful when the full likelihood function may be difficult to maximize, but the components are easy to maximize. It covers settings where the nuisance parameter may be estimated at different rates in the component likelihoods. As a motivating example we consider proportional hazards regression with prospective doubly censored data, in which the likelihood factors into a current status data likelihood and a left-truncated right-censored data likelihood. Variable selection is important in such regression modelling, but the applicability of existing techniques is unclear in the ensemble approach. We propose ensemble variable selection using the least squares approximation technique on the unpenalized ensemble estimator, followed by ensemble re-estimation under the selected model. The resulting estimator has the oracle property such that the set of nonzero parameters is successfully recovered and the semiparametric efficiency bound is achieved for this parameter set. Simulations show that the proposed method performs well relative to alternative approaches. Analysis of an AIDS cohort study illustrates the practical utility of the method.
more »
« less
- PAR ID:
- 10186571
- Date Published:
- Journal Name:
- Biometrika
- ISSN:
- 0006-3444
- Format(s):
- Medium: X
- Sponsoring Org:
- National Science Foundation
More Like this
-
-
Failure time data subject to various types of censoring commonly arise in epidemiological and biomedical studies. Motivated by an AIDS clinical trial, we consider regression analysis of failure time data that include exact and left‐, interval‐, and/or right‐censored observations, which are often referred to as partly interval‐censored failure time data. We study the effects of potentially time‐dependent covariates on partly interval‐censored failure time via a class of semiparametric transformation models that includes the widely used proportional hazards model and the proportional odds model as special cases. We propose an EM algorithm for the nonparametric maximum likelihood estimation and show that it unifies some existing approaches developed for traditional right‐censored data or purely interval‐censored data. In particular, the proposed method reduces to the partial likelihood approach in the case of right‐censored data under the proportional hazards model. We establish that the resulting estimator is consistent and asymptotically normal. In addition, we investigate the proposed method via simulation studies and apply it to the motivating AIDS clinical trial.more » « less
-
ABSTRACT We address the challenge of estimating regression coefficients and selecting relevant predictors in the context of mixed linear regression in high dimensions, where the number of predictors greatly exceeds the sample size. Recent advancements in this field have centered on incorporating sparsity-inducing penalties into the expectation-maximization (EM) algorithm, which seeks to maximize the conditional likelihood of the response given the predictors. However, existing procedures often treat predictors as fixed or overlook their inherent variability. In this paper, we leverage the independence between the predictor and the latent indicator variable of mixtures to facilitate efficient computation and also achieve synergistic variable selection across all mixture components. We establish the non-asymptotic convergence rate of the proposed fast group-penalized EM estimator to the true regression parameters. The effectiveness of our method is demonstrated through extensive simulations and an application to the Cancer Cell Line Encyclopedia dataset for the prediction of anticancer drug sensitivity.more » « less
-
Various goodness-of-fit tests are designed based on the so-called information matrix equivalence: if the assumed model is correctly specified, two information matrices that are derived from the likelihood function are equivalent. In the literature, this principle has been established for the likelihood function with fully observed data, but it has not been verified under the likelihood for censored data. In this manuscript, we prove the information matrix equivalence in the framework of semiparametric copula models for multivariate censored survival data. Based on this equivalence, we propose an information ratio (IR) test for the specification of the copula function. The IR statisticis constructed via comparing consistent estimates of the two information matrices. We derive the asymptotic distribution of the IR statistic and propose a parametric bootstrap procedure for the finite-sample P-value calculation. The performance of the IR test is investigated via a simulation study and a real data example.more » « less
-
Abstract We consider high‐dimensional inference for potentially misspecified Cox proportional hazard models based on low‐dimensional results by Lin and Wei (1989). A desparsified Lasso estimator is proposed based on the log partial likelihood function and shown to converge to a pseudo‐true parameter vector. Interestingly, the sparsity of the true parameter can be inferred from that of the above limiting parameter. Moreover, each component of the above (nonsparse) estimator is shown to be asymptotically normal with a variance that can be consistently estimated even under model misspecifications. In some cases, this asymptotic distribution leads to valid statistical inference procedures, whose empirical performances are illustrated through numerical examples.more » « less
- Free Publicly Accessible Full Text
-
Accepted Manuscript1.0
- Journal Article:
- https://doi.org/10.1093/biomet/asaa012
