JAMPJournal of Applied Mathematics and Physics2327-4352Scientific Research Publishing10.4236/jamp.2014.210107JAMP-50264ArticlesPhysics&Mathematics Empirical Likelihood Diagnosis of Modal Linear Regression Models hulingWang1*LinZheng2JiangtaoDai3School of Statistics and Applied Mathematics, Anhui University of Finance and Economics, Bengbu, ChinaDepartment of Fundamental Course, Air Force Logistics College, Xuzhou, ChinaFundamental Science Department, North China Institute of Astronautic Engineering, Langfang, China* E-mail:155328313@qq.com(HW);24092014021094895210 August 201410 September 2014 17 September 2014© Copyright 2014 by authors and Scientific Research Publishing Inc. 2014This work is licensed under the Creative Commons Attribution International License (CC BY). http://creativecommons.org/licenses/by/4.0/

In this paper, we investigate the empirical likelihood diagnosis of modal linear regression models. The empirical likelihood ratio function based on modal regression estimation method for the regression coefficient is introduced. First, the estimation equation based on empirical likelihood method is established. Then, some diagnostic statistics are proposed. At last, we also examine the performance of proposed method for finite sample sizes through simulation study.

Modal Linear Regression Model Empirical Likelihood Outliers Influence Analysis
1. Introduction

The mode of a distribution is regarded as an important feature of data. Several authors have made efforts to identify the modes of population distributions for low-dimensional data. See, for example, Muller and Sawitzki  ; Scott  ; Friedman and Fisher  ; Chaudhuri and Marron  ; Fisher and Marron  ; Davies and Kovac  Hall, Minnotte and Zhang  ; Ray and Lindsay  ; Yao and Lindsay  . In high-dimensional data, it is common to impose some model structure assumptions such as assumption on conditional distributions. Thus, it is of great interest to study the mode hunting for conditional distributions.

Given a random sample, where is a p-dimension column vector, is the conditional density function. For the conventional regression models, the mean of is usually used to investigate the relationship between and and the linear regression assumes that the mean of is a linear function of. Yao and Li  proposed a new regression model called modal linear regression that assumes the mode of is a linear function of the predictor. Modal linear regression measures the center using the “most likely” conditional values rather than the conditional average used by the traditional linear regression.

Lee  used the uniform kernel and Epanechnikov kernel to estimate the modal regression. However, their estimators are of little practical use because the object function is non-differentiable and its distribution is intractable. Scott  mentioned the modal regression, but little methodology is given on how to implement it in practice. Recently, Yao et al.  investigated the estimation problem in nonparametric regression using the method of modal regression, and obtained a robust and efficient estimator for the nonparametric regression func- tion. Yao and Li  suggested using the Gaussian kernel and developed MEM algorithm to compute modal es- timators for linear models. Their estimation procedure is very convenient to be implemented for practitioners and the result is encouraging for many non-normal error distributions. Yu and Aristodemou  studied modal regression from Bayesian perspective. In addition, Zhao, Zhang and Liu  considered how to yield a robust empirical likelihood estimation for regression models.

The empirical likelihood method originates from Thomas & Grunkemeier  . Owen  first proposed the definition of empirical likelihood and expounded the system info of empirical likelihood. Zhu and Ibrahim  utilized this method for statistical diagnostic, and they developed diagnostic measures for assessing the influence of individual observations when using empirical likelihood with general estimating equations, and used these measures to construct goodness-of-fit statistics for testing possible misspecification in the estimating equations. Liugen Xue and Lixing Zhu  summarized the application of this method.

Over the last several decades, the diagnosis and influence analysis of linear regression model has been fully developed (R. D. Cook and S. Weisberg  , Bo-cheng Wei, Go-bin Lu & Jian-qing Shi  ). So far the statistical diagnostics of modal linear regression models based on empirical likelihood method has not yet been seen in the literature. This paper attempts to study it.

The rest of the paper is organized as follows. In Section 2, we review the modal regression. In Section 3, empirical likelihood and estimation equation are presented. The main results are given in Section 4. Simulation study is given to illustrate our results in Section 5.

2. Modal Linear Regression

Suppose a response variable given a set of predictor is distributed with a probability density function (PDF). Yao and Li  proposed to use the mode of, denoted by

, to investigate the relationship between and. The proposed modal linear regression method assumes that

The idea of modal linear regression can be easily generalized to other models such as nonlinear regression, nonparametric regression, and varying coefficient partially linear regression. To include the intercept term in (1), we assume that the first element of is 1. Let and denote by the conditional density of given. Here, we allow the conditional density of given to depend on. Based on the model assumption (1), one knows that is maximized at 0 for any x. If is symmetric about 0, the in (1) will be the same as the conventional linear regression parameters. However, if is skewed, they will be different and it is even possible that the modal regression is a linear function of but the conventional mean regression function is nonlinear.

Yao and Li  proposed to estimate the modal regression parameter in (1) by maximizing

where and is a kernel density function. Denote by the maximizer of (2). We call the modal linear regression (MODLR) estimator.

3. Empirical Likelihood and Estimation Equation

In this section, we review empirical likelihood based on modal regression for regression coefficients, then establish the estimation equations.

Similarly to Zhao, Zhang and Liu  , we define an auxiliary random vector

Note that, where is the true parameter value. According to the empirical likelihood principle, we define the empirical likelihood ratio function of to be

By the method of Lagrange multipliers, similar to that used in Owen (2001), is well-defined and can be re-expressed as

where is determined by the constraint equation

Motivated by Zhu and Ibrahim  , we regard and as independent variables and define

,

Obviously, the maximum empirical likelihood estimates and are the solutions of following equations:

4. Local Influence Analysis of Model

We consider the local influence method for a case-weight perturbation, for which the empirical log-

likelihood function is defined by. In this case, , defined to be an n ×

1 vector with all elements equal to 1, represents no perturbation to the empirical likelihood, because

. Thus, the empirical likelihood displacement is defined as,

where is the maximum empirical likelihood estimator of based on. Let with and, where is a direction in. Thus, the normal curvature of the in-

fluence graph is given by, where

, in which is a matrix with

-th element given by.

We consider two local influence measures based on the normal curvature as follows. Let

be the ordered eigenvalues of the matrix and let

be the associated orthonormal basis, that is,. Thus, the spectral decomposition of is given by

The most popular local influence measures include, which corresponds the largest eigen value, as well

as, where is an vector with -th component 1 and 0 otherwise. The represents

the most influential perturbation to the empirical likelihood function, whereas the -th observation with a large can be regarded as influential.

As the discuss of Zhu et al.  , for varying-coefficient density-ratio model, we can deduce that

where

.

5. Numerical Study

We generate data-sets from following model

where the covariates follows a three-dimensional normal distribution with unit marginal variance and correlation 0.5. The true value of the regression coefficient is

. The error is independent of. For ease of computation, we use the standard normal density function for. Simulation results are computed based on 1000 random samples with the sample size being 150.