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Statistics Seminar -- Dr. Liqun Wang, University of Manitoba, Canada

Event Type
Seminar/Symposium
Sponsor
Bo Li
Location
122 Illini Hall
Date
May 10, 2019   2:00 - 3:00 pm  
Views
85
Originating Calendar
Department of Statistics Event Calendar

Title: Variable Selection and Estimation in Generalized Linear Measurement Error Models

 

Abstract:We study the variable selection problem in linear and generalized linear models when some of the predictors are measured with error. We illustrate how measurement error (ME) affects the selection results through an example and propose a regularized instrumental variable (RIV) method to correct for the ME effects. We show that the proposed estimator has the oracle property in a linear model and we derive its asymptotic distribution under general conditions. We also investigate the performance of this estimator in generalized linear models. Our simulation studies show that the RIV estimator outperforms the naive estimator in both linear and generalized linear models. Finally, the proposed method is applied to a real dataset. This is a joint work with Lin Xue.

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