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Estimating the retransformed mean in a heteroscedastic two-part model

Welsh, Alan; Zhou, Xun

Description

Two distribution-free estimators are proposed to estimate the mean of a dependent variable after fitting a semiparametric two-part heteroscedastic regression model to a transformation of the dependent variable. We show that the proposed estimators are consistent and have asymptotic normal distributions. We also compare their finite-sample performance in a simulation study. Finally, we illustrate the proposed methods in a real-world example of predicting in-patient health care costs.

dc.contributor.authorWelsh, Alan
dc.contributor.authorZhou, Xun
dc.date.accessioned2015-12-07T22:32:35Z
dc.identifier.issn0378-3758
dc.identifier.urihttp://hdl.handle.net/1885/22880
dc.description.abstractTwo distribution-free estimators are proposed to estimate the mean of a dependent variable after fitting a semiparametric two-part heteroscedastic regression model to a transformation of the dependent variable. We show that the proposed estimators are consistent and have asymptotic normal distributions. We also compare their finite-sample performance in a simulation study. Finally, we illustrate the proposed methods in a real-world example of predicting in-patient health care costs.
dc.publisherElsevier
dc.sourceJournal of Statistical Planning and Inference
dc.subjectExtra zeros
dc.subjectHealth care costs
dc.subjectHeteroscedastic regression model
dc.subjectRetransformation
dc.subjectSkewed data
dc.subjectSmearing
dc.subjectTwo-part model
dc.titleEstimating the retransformed mean in a heteroscedastic two-part model
dc.typeJournal article
local.description.notesImported from ARIES
local.identifier.citationvolume136
dc.date.issued2006
local.identifier.absfor010405 - Statistical Theory
local.identifier.ariespublicationu3488905xPUB24
local.type.statusPublished Version
local.contributor.affiliationWelsh, Alan, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationZhou, Xun, University of Washington
local.description.embargo2037-12-31
local.bibliographicCitation.startpage860
local.bibliographicCitation.lastpage881
local.identifier.doi10.1016/j.jspi.2004.07.009
dc.date.updated2015-12-07T10:21:53Z
local.identifier.scopusID2-s2.0-28044456087
CollectionsANU Research Publications

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