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个人信息Personal Information
副教授
博士生导师
硕士生导师
性别：男
毕业院校：吉林大学
学位：博士
所在单位：数学科学学院
学科：概率论与数理统计. 金融数学与保险精算
办公地点：数学科学学院5楼
电子邮箱：wangxg@dlut.edu.cn
Penalized Empirical Likelihood via Bridge Estimator in Cox's Proportional Hazard Model
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论文类型：期刊论文
发表时间：2014-01-17
发表刊物：COMMUNICATIONS IN STATISTICS-THEORY AND METHODS
收录刊物：SCIE、EI
卷号：43
期号：2
页面范围：426-440
ISSN号：0361-0926
关键字：Bridge estimator; Cox's proportional hazard model; Empirical likelihood; Variable selection; 62G05; 62N01
摘要：We propose the penalized empirical likelihood method via bridge estimator in Cox's proportional hazard model for parameter estimation and variable selection. Under reasonable conditions, we show that penalized empirical likelihood in Cox's proportional hazard model has oracle property. A penalized empirical likelihood ratio for the vector of regression coefficients is defined and its limiting distribution is a chi-square distributions. The advantage of penalized empirical likelihood as a nonparametric likelihood approach is illustrated in testing hypothesis and constructing confidence sets. The method is illustrated by extensive simulation studies and a real example.