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We develop and apply an approach for analyzing multi-curve data where each curve is driven by a latent state process. The state at any particular point determines a smooth function, forcing the individual curve to “switch” from one function to another. Thus each curve follows what we call a switching nonparametric regression model. We develop an EM algorithm to estimate the model parameters. We also obtain standard errors for the parameter estimates of the state process. We consider three types of hidden states: those that are independent and identically distributed, those that follow a Markov structure, and those that are independent but with distribution depending on some covariate(s). A simulation study shows the frequentist properties of our estimates. We apply our methods to a building’s power usage data. Les auteures développent et mettent en application une approche d’analyse de données multicourbes où chaque courbe est générée par un processus latent. L’état d’un point particulier détermine une fonction lisse, forçnt les courbes individuelles à passer d’une fonction à l’autre. Chaque courbe suit ainsi ce que les auteures appellent un modèle de régression non paramétrique intermittent. Elles développent un algorithme EM pour estimer les paramètres et obtiennent les erreur-types pour les estimateurs des paramètres du modèle d’états. Les auteures considèrent trois types d’états cachés: ceux qui sont indépendants et identiquement distribués, ceux qui suivent une structure de Markov, et ceux qui sont indépendants mais dont la distribution dépend de covariables. Elles présentent une simulation afin de montrer les propriétés fréquentistes de leurs estimateurs et appliquent leur méthode à des données réelles de consommation d’énergie de bâtiments.

In this article, we study a class of semiparametric mixtures of regression models, in which the regression functions are linear functions of the predictors, but the mixing proportions are smoothing functions of a covariate. We propose a one-step backfitting estimation procedure to achieve the optimal convergence rates for both regression parameters and the nonparametric functions of mixing proportions. We derive the asymptotic bias and variance of the one-step estimate, and further establish its asymptotic normality. A modified expectation-maximization-type (EM-type) estimation procedure is investigated. We show that the modified EM algorithms preserve the asymptotic ascent property. Numerical simulations are conducted to examine the finite sample performance of the estimation procedures. The proposed methodology is further illustrated via an analysis of a real dataset.

This study focuses on estimating a nonparametric regression model with right-censored data when the covariate is subject to measurement error. To achieve this goal, it is necessary to solve the problems of censorship and measurement error ignored by many researchers. Note that the presence of measurement errors causes biased and inconsistent parameter estimates. Moreover, non-parametric regression techniques cannot be applied directly to right-censored observations. In this context, we consider an updated response variable using the Buckley–James method (BJM), which is essentially based on the Kaplan–Meier estimator, to solve the censorship problem. Then the measurement error problem is handled using the kernel deconvolution method, which is a specialized tool to solve this problem. Accordingly, three denconvoluted estimators based on BJM are introduced using kernel smoothing, local polynomial smoothing, and B-spline techniques that incorporate both the updated response variable and kernel deconvolution.The performances of these estimators are compared in a detailed simulation study. In addition, a real-world data example is presented using the Covid-19 dataset.

Consider the semiparametric linear regression estimation problem with right-censored data. Under right censoring, the Buckley–James estimator (BJE) is the standard extension of the least squares estimator. Moreover, an iterative algorithm for the BJE has been implemented in R package called rms. We show that it often does not yield a solution, even if a consistent BJE exists. Yu and Wong (J Stat Comput Simul 72:451–460, 2002) proposed another algorithm to find all possible BJEs. The latter algorithm is modified in this paper so that it indeed finds all BJEs when the underlying regression parameter vector is identifiable. We show that some of these BJE’s can be inconsistent. Thus it is important to decide how to select a proper BJE such that it is consistent if the parameter is identifiable. We suggest either choose one close to the modified semi-parametric maximum likelihood estimator (Yu and Wong in Technometrics 47:34–42, 2005) or a finite boundary point if there are infinitely many BJEs.

This paper studies the special case of the triangular system of equations in Vytlacil and Yildiz (2007), where both dependent variables are binary but without imposing the restrictive support condition required by Vytlacil and Yildiz (2007) for identification of the average structural function (ASF) and the average treatment effect (ATE). Under weak regularity conditions, we derive upper and lower bounds on the ASF and the ATE. We show further that the bounds on the ASF and ATE are sharp under some further regularity conditions and an additional restriction on the support of the covariates and the instrument.

We propose a nonparametric test of conditional independence based on the weighted Hellinger distance between the two conditional densities, f(y|x,z) and f(y|x), which is identically zero under the null. We use the functional delta method to expand the test statistic around the population value and establish asymptotic normality under β-mixing conditions. We show that the test is consistent and has power against alternatives at distance n−1/2h−d/4. The cases for which not all random variables of interest are continuously valued or observable are also discussed. Monte Carlo simulation results indicate that the test behaves reasonably well in finite samples and significantly outperforms some earlier tests for a variety of data generating processes. We apply our procedure to test for Granger noncausality in exchange rates.

Widely used methods such as Cox proportional hazards, accelerated failure time, and Bennet proportional odds models do not model the quantiles directly, but rather allow to assess the influence of the covariates only on the location of the distribution. Quantile regression allows to assess the effects of covariates, not only on a location parameter (such as a mean or median) but also on specific percentiles of the conditional distribution. In recent years, a large family of flexible two-piece asymmetric distributions where the location parameter coincides with a specific quantile of the distribution has been studied. In a conditional (regression) setting the use of such a family of two-piece asymmetric distributions has only been investigated in the complete data case in the literature. In this paper, we propose a semi-parametric procedure to estimate the conditional quantile curves of two-piece asymmetric distributions based on right censored survival data. We use a local likelihood estimation technique in a multi-parameter functional form, via which the effect of a covariate on the location, scale, and index of the conditional survival distribution can be assessed. The finite sample performance of the estimators is investigated via simulations, and the methodology is illustrated on real data examples.

Using quantile regression to analyze survival times offers an valuable complement to traditional Cox proportional hazards modelling. Unfortunately, this approach has been hampered by the lack of a conditional quantile estimator for censored data that is directly analogous to the Kaplan-Meier estimator and applies under standard assumptions for censored regression models. Here a recursively reweighted estimator of the regression quantile process is developed as a direct generalization of the Kaplan-Meier estimator. Specifically, the asymptotic behavior is directly analogous to that of the Kaplan-Meier estimator, and computation is essentially equivalent to current simplex methods for the quantile process in the uncensored case. Some preliminary examples suggest the strong potential of these methods as a complement to the use of Cox models.

In many life-testing experiments, interest often lies in examining the effect of extreme or varying stress factors such as frequency, voltage, temperature, load, etc. on the lifetimes of the experimental units. An experimenter often then performs the step-stress accelerated life-testing (SSALT) experiment, a special case of the more general accelerated life-testing (ALT) experiment, to get an insight about various reliability characteristics of the lifetime distribution much quickly compared to that obtained under normal operating conditions. An extensive amount of work has been performed analyzing data obtained from a simple SSALT experiment based on different parametric models. We propose here a flexible data-driven semiparametric approach based on a piecewise constant approximation (PCA) of the baseline hazard function (HF) in order to analyze failure time data obtained from a simple SSALT experiment when the data are Type-I censored. It is assumed that the associated lifetime distribution satisfies the failure rate- based model assumptions. We provide both the classical and Bayesian solutions to this problem. In particular, methodologies to obtain the point and interval estimates of the associated model parameters are discussed. Extensive simulation studies are carried out to see the effectiveness of the proposed method. A real-life data example is considered for illustrative purposes.

This paper extends Imbens and Manski's (2004) analysis of confidence intervals for interval identified parameters. The extension is motivated by the discovery that for their final result, Imbens and Manski implicitly assumed locally superefficient estimation of a nuisance parameter. I reanalyze the problem both with assumptions that merely weaken this superefficiency condition and with assumptions that remove it altogether. Imbens and Manski's confidence region is valid under weaker assumptions than theirs, yet superefficiency is required. I also provide a confidence interval that is valid under superefficiency, but can be adapted to the general case. A methodological contribution is to observe that the difficulty of inference comes from a preestimation problem regarding a nuisance parameter, clarifying the connection to other work on partial identification.