Title
Probabilistic index models
Document Type
Journal Article
Abstract
We present a semiparametric statistical model for the probabilistic index which can be defined as P (Y <-Y*) where Y and Y* are independent random response variables associated with covariate patterns X and X* respectively. A link function defines the relationship between the probabilistic index and a linear predictor. Asymptotic normality of the estimators and consistency of the covariance matrix estimator are established through semiparametric theory. The model is illustrated with several examples, and the estimation theory is validated in a simulation study.
RIS ID
64781
COinS
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Publication Details
Thas, O., De Neve, J., Clement, L. & Ottoy, J. (2012). Probabilistic index models. Journal of the Royal Statistical Society Series B: Statistical Methodology, 74 (4), 623-671.