统计研究 ›› 2021, Vol. 38 ›› Issue (11): 150-160.doi: 10.19343/j.cnki.11-1302/c.2021.11.012

• • 上一篇    

测量误差模型稳健方法及应用研究

金蛟 李瞳辉 徐帅帅 安金兵   

  • 出版日期:2021-11-25 发布日期:2021-11-25

The Robust Estimation Method and Application of Errors-in-Variables Models

Jin Jiao Li Tonghui Xu Shuaishuai An Jinbing   

  • Online:2021-11-25 Published:2021-11-25

摘要: 回归模型在经济学、生物医学、流行病学、工农业生产等众多领域有着广泛的应用,而在实际数据收集时常常出现无法获得变量的精确数据或全部数据的情况,即常碰到测量误差数据、缺失数据等复杂数据情形。对于回归模型中存在测量误差的情况,如在参数估计时不加以修正,则易产生估计偏差,使得估计精度下降。对于数据缺失情形,如不采取合理的处理方法也会导致模型分析结果不佳。故此,本文研究含有测量误差数据时,解释变量具有随机缺失时的线性测量误差模型和部分线性测量误差模型的稳健参数估计问题。本文提出了一种在测量误差服从拉普拉斯分布时参数的损失修正估计,通过蒙特卡洛模拟和医学研究中的实证分析,显示本文所提的估计方法具有偏差小、精度高、稳健性强的优势。

关键词: 测量误差模型, 损失修正, 缺失数据, 稳健估计

Abstract: Regression models have been widely used in many fields, such as economics, biology, medicine, epidemiology, industrial and agricultural production, etc. However, for various reasons, in the process of data collection, data inaccuracy is inevitable. We often encounter data with errors of measurement, missing data, and other complicated data issues. In the presence of measurement errors in regression models, if we donot correct the parameter estimation method, it is easy to produce estimation deviation and lead to the decrease of estimation accuracy. For missing data, if we do not take a reasonable treatment method, the analysis results a model will be less satisfactory. Therefore, this paper studies the partial linear errors-in- variables model and the linear errors-in-variables model with covariate data missing at random. A loss correction method of parameter estimation is proposed, when the measurement error follows the Laplace distribution. With Monte Carlo simulation and real data analysis in medical research, the results show that the proposed method has the advantages of small deviation, high accuracy and strong robustness.

Key words: Errors-in-variables Model, Loss Correction, Missing Data, Robustness