Perturbation by multiplicative noise and the Simulation Extrapolation method

Biewen, Elena and Nolte, Sandra and Rosemann, Martin (2008) Perturbation by multiplicative noise and the Simulation Extrapolation method. AStA Advances in Statistical Analysis, 92 (4). pp. 375-389. ISSN 1863-8171

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While most of the literature on measurement error focuses on additive measurement error, we consider in this paper the multiplicative case. We apply the Simulation Extrapolation method (SIMEX)—a procedure which was originally proposed by Cook and Stefanski (J. Am. Stat. Assoc. 89:1314–1328, 1994) in order to correct the bias due to additive measurement error—to the case where data are perturbed by multiplicative noise and present several approaches to account for multiplicative noise in the SIMEX procedure. Furthermore, we analyze how well these approaches reduce the bias caused by multiplicative perturbation. Using a binary probit model, we produce Monte Carlo evidence on how the reduction of data quality can be minimized.

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Journal Article
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AStA Advances in Statistical Analysis
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21 May 2013 08:37
Last Modified:
21 Nov 2022 23:50