Varying-coefficient mean-covariance regression analysis for longitudinal data

doi:10.1016/j.jspi.2014.11.008

CORC > 上海财经大学 > 上海财经大学

	Varying-coefficient mean-covariance regression analysis for longitudinal data
	Liu, Shu 1; Li, Guodong 2
刊名	JOURNAL OF STATISTICAL PLANNING AND INFERENCE
	2015-05
卷号	160 页码:89-106
关键词	Within-subject correlation Efficiency Local polynomial regression Modified Cholesky decomposition Longitudinal data Varying-coefficient
ISSN号	0378-3758
DOI	10.1016/j.jspi.2014.11.008
英文摘要	By considering within-subject correlation among repeated measures over time, we propose a new and efficient estimation of varying-coefficient models for longitudinal data. Based on a modified Cholesky decomposition, the within-subject covariance matrix is decomposed into a unit triangular matrix involving generalized autoregressive coefficients and a diagonal matrix involving innovation variances. Local polynomial smoothing method is used to estimate the unknown varying coefficient functions of marginal mean and innovation variances. A method is also developed to estimate the autoregressive coefficients. All the resulting estimators are shown to be consistent and asymptotically normal. The proposed estimator of varying coefficient functions are asymptotically more efficient than the ones which ignore the within-subject correlation structure. Simulations are conducted to demonstrate finite sample behaviors of the proposed estimators, and a real example is given to illustrate the value of the proposed methodology. (C) 2014 Elsevier B.V. All rights reserved.
WOS研究方向	Mathematics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000352921200008
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1548]
专题	上海财经大学
通讯作者	Liu, Shu
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai 200433, Peoples R China; 2.Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China
推荐引用方式 GB/T 7714	Liu, Shu,Li, Guodong. Varying-coefficient mean-covariance regression analysis for longitudinal data[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE,2015,160:89-106.
APA	Liu, Shu,&Li, Guodong.(2015).Varying-coefficient mean-covariance regression analysis for longitudinal data.JOURNAL OF STATISTICAL PLANNING AND INFERENCE,160,89-106.
MLA	Liu, Shu,et al."Varying-coefficient mean-covariance regression analysis for longitudinal data".JOURNAL OF STATISTICAL PLANNING AND INFERENCE 160(2015):89-106.