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August 2004 Semiparametric density estimation under a two-sample density ratio model
K.F. Cheng, C.K. Chu
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Bernoulli 10(4): 583-604 (August 2004). DOI: 10.3150/bj/1093265631

Abstract

A semiparametric density estimation is proposed under a two-sample density ratio model. This model, arising naturally from case-control studies and logistic discriminant analyses, can also be regarded as a biased sampling model. Our proposed density estimate is therefore an extension of the kernel density estimate suggested by Jones for length-biased data. We show that under the model considered the new density estimator not only is consistent but also has the `smallest' asymptotic variance among general nonparametric density estimators. We also show how to use the new estimate to define a procedure for testing the goodness of fit of the density ratio model. Such a test is consistent under very general alternatives. Finally, we present some results from simulations and from the analysis of two real data sets.

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K.F. Cheng. C.K. Chu. "Semiparametric density estimation under a two-sample density ratio model." Bernoulli 10 (4) 583 - 604, August 2004. https://doi.org/10.3150/bj/1093265631

Information

Published: August 2004
First available in Project Euclid: 23 August 2004

zbMATH: 1055.62032
MathSciNet: MR2076064
Digital Object Identifier: 10.3150/bj/1093265631

Keywords: Asymptotic relative efficiency , biased sampling problem , case-control data , Density estimation , Goodness-of-fit test , logistic regression , semiparametric maximum likelihood estimation

Rights: Copyright © 2004 Bernoulli Society for Mathematical Statistics and Probability

Vol.10 • No. 4 • August 2004
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