Semiparametric estimators of functional measurement error models with unknown error
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 2007 · Volume 69 · Issue 3
DOI: 10.1111/j.1467-9868.2007.00596.x
Abstract
Summary.We consider functional measurement error models where the measurement error distribution is estimated non-parametrically. We derive a locally efficient semiparametric estimator but propose not to implement it owing to its numerical complexity. Instead, a plug-in estimator is proposed, where the measurement error distribution is estimated through non-parametric kernel methods based on multiple measurements. The rootnconsistency and asymptotic normality of the plug-in estimator are derived. Despite the theoretical inefficiency of the plug-in estimator, simulations demonstrate its near optimal performance. Computational advantages relative to the theoretically efficient estimator make the plug-in estimator practically appealing. Application of the estimator is illustrated by using the Framingham data example.
Keywords
Errors in variables, Latent variables, Measurement error, Semiparametric efficiency, Semiparametric methods
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