OPEN IN READ APP
JOURNAL ARTICLE

A Monte Carlo method for variance estimation for estimators based on induced smoothing

Zhezhen Jin, Yongzhao Shao, Zhiliang Ying
Biostatistics 2015, 16 (1): 179-88
24812418
An important issue in statistical inference for semiparametric models is how to provide reliable and consistent variance estimation. Brown and Wang (2005. Standard errors and covariance matrices for smoothed rank estimators. Biometrika 92: , 732-746) proposed a variance estimation procedure based on an induced smoothing for non-smooth estimating functions. Herein a Monte Carlo version is developed that does not require any explicit form for the estimating function itself, as long as numerical evaluation can be carried out. A general convergence theory is established, showing that any one-step iteration leads to a consistent variance estimator and continuation of the iterations converges at an exponential rate. The method is demonstrated through the Buckley-James estimator and the weighted log-rank estimators for censored linear regression, and rank estimation for multiple event times data.

Discussion

You are not logged in. Sign Up or Log In to join the discussion.

Related Papers

Available on the App Store

Available on the Play Store
Remove bar
Read by QxMD icon Read
24812418
×

Search Tips

Use Boolean operators: AND/OR

diabetic AND foot
diabetes OR diabetic

Exclude a word using the 'minus' sign

Virchow -triad

Use Parentheses

water AND (cup OR glass)

Add an asterisk (*) at end of a word to include word stems

Neuro* will search for Neurology, Neuroscientist, Neurological, and so on

Use quotes to search for an exact phrase

"primary prevention of cancer"
(heart or cardiac or cardio*) AND arrest -"American Heart Association"