American Statistical Association
We derive constructive locally efficient estimators in semiparametric measurement error models. The setting is one where the likelihood function depends on variables measured with and without error, where the variables measured without error can be modelled nonparametrically. The algorithm is based on backfitting. We show that if one adopts a parametric model for the latent variable measured with error and if this model is correct, then the estimator is semiparametric efficient; if the latent variable model is mis-specified, our methods lead to a consistent and asymptotically normal estimator. Our method further produces an estimator of the nonparametric function that achieves the standard bias and variance property. We extend the methodology to allow for parameters in the measurement error model to be estimated by additional data in the form of replicates or instrumental variables. The methods are illustrated via a simulation study and a data example, where the putative latent variable distribution is a shifted lognormal, but concerns about the effects of misspecification of this assumption and the linear assumption of another covariate demand a more model-robust approach.
A special case of wide interest is the partially linear measurement error model. If one assumes that the model error and the measurement error are both normally distributed, then our estimator has a closed form. When a normal model for the unobservable variable is also posited, our estimator becomes consistent and asymptotically normally distributed for the general partially linear measurement error model, even without any of the normality assumptions under which the estimator is originally derived. We show that the method in fact reduces to a same estimator in Liang et al. (1999), thus showing a previously unknown optimality property of their method.
Dr. Ma got her PhD in mathematics from MIT in 1999. After several years in industry, she did a postdoc and became a statistician. She is now an associate professor at Texas A&M University.
|Date:||Thursday, October 15, 2009|
|Time:||4:00 - 5:00 P.M.|
Mailman School of Public Health
Department of Biostatistics
722 West 168th Street
Biostatistics Computer Lab
6th Floor - Room 656
New York, New York