Estimation and model identification of longitudinal data time-varying nonparametric models

doi:10.1016/j.jmva.2017.02.003

CORC > 上海财经大学 > 上海财经大学

	Estimation and model identification of longitudinal data time-varying nonparametric models
	Liu, Shu 1; You, Jinhong 2; Lian, Heng 3
刊名	JOURNAL OF MULTIVARIATE ANALYSIS
	2017-04
卷号	156 页码:116-136
关键词	Longitudinal data Modified Cholesky decomposition Model identification Nonparametric regression Time-varying
ISSN号	0047-259X
DOI	10.1016/j.jmva.2017.02.003
英文摘要	In this paper, we consider nonparametric regression modeling for longitudinal data. An important modeling choice is that the covariate effect may change dynamically with time by using a bivariate link function. Comparing with Jiang and Wang (2010, 2011), and Zhang et al. (2013) we make two distinct contributions to this important class of models. First, we show theoretically and empirically that taking the within-subject correlation into account can improve the estimation efficiency for the bivariate link function. Second, we propose a novel method involving a shrinkage estimation technique to identify consistently whether the effect of covariates is time-varying. Simulation studies are conducted to assess the finite-sample performance and a real data example is analyzed to illustrate the proposed methods. (C) 2017 Elsevier Inc. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER INC
WOS记录号	WOS:000398649500009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1004]
专题	上海财经大学
通讯作者	Liu, Shu
作者单位	1.Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 3.City Univ Hong Kong, Dept Math, Kowloon Tong 999077, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Liu, Shu,You, Jinhong,Lian, Heng. Estimation and model identification of longitudinal data time-varying nonparametric models[J]. JOURNAL OF MULTIVARIATE ANALYSIS,2017,156:116-136.
APA	Liu, Shu,You, Jinhong,&Lian, Heng.(2017).Estimation and model identification of longitudinal data time-varying nonparametric models.JOURNAL OF MULTIVARIATE ANALYSIS,156,116-136.
MLA	Liu, Shu,et al."Estimation and model identification of longitudinal data time-varying nonparametric models".JOURNAL OF MULTIVARIATE ANALYSIS 156(2017):116-136.