A smooth simultaneous confidence band for correlation curve
报 告 人:: 杨立坚
报告地点:: 数学与统计学院四楼会议室
报告时间:: 2017年07月05日星期三16:00-17:00

A plug-in estimator is proposed for a local measure of variance ex- plained by regression, termed correlation curve in Doksum et al. (J Am Stat Assoc 89:571582, 1994), consisting of a two-step spline ke- rnel estimator of the conditional variance function and local quadratic estimator of first derivative of the mean function. The estimator isora- cally efficient in the sense that it is as efficient as an infeasible correl- ation estimator with the variance function known. As a consequence of the oracle efficiency, a smooth simultaneous confidence band(SCB) is constructed around the proposed correlation curve estimator and shown to be asymptotically correct. Simulated examples illustrate the versatility of the proposed oracle SCB which confirms the asymptotic theory. Application to a 1995 British Family Expenditure Survey data has found marginally significant evidence for a local version of Engel’s law, i.e., food budget share and household real income are inversely related (Hamilton in Am Econ Rev 91:619630, 2001).

发 布 人:科研助理 发布时间: 2017-06-30
杨立坚,清华大学统计学研究中心长聘教授。北京大学数学学士(1987),美国北卡罗来纳大学教堂山分校统计学博士(1995),美国密西根州立大学统计系终身正教授(2006-2014),研究生主任(2007-2010)。国际统计学院当选会员(Elected Member, International Statistical Institute ISI),美国统计协会当选会士(Elected Fellow, American Statistical Association ASA),国际数理统计学会当选会士(Elected Fellow, Institute of Mathematical Statistics IMS);中组部“千人计划”国家特聘专家。2003年耶鲁大学出版社颁发的2000-2002年度 Tjalling C. Koopmans Econometric Theory Prize获得者。