Semiparametric Estimation of Covariance Matrixes for Longitudinal Data

doi:10.1198/016214508000000742

CORC > 上海财经大学 > 上海财经大学

	Semiparametric Estimation of Covariance Matrixes for Longitudinal Data
	Fan, Jianqing 1,2; Wu, Yichao 3
刊名	JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
	2008-12
卷号	103 期号:484 页码:1520-1533
关键词	Correlation structure Difference-based estimation Quasi-maximum likelihood Varying-coefficient partially linear model
ISSN号	0162-1459
DOI	10.1198/016214508000000742
英文摘要	Estimation of longitudinal data covariance structure Poses significant challenges because the data usually are collected at irregular time points. A viable semiparametric model for covariance matrixes has been proposed that allows one to estimate the variance function nonparametrically and to estimate the correlation function parametrically by aggregating information front irregular and sparse data points within each subject. But the asymptotic properties of the quasi-maximum likelihood estimator (QMLE) of parameters in the covariance model are largely, unknown. We address this problem in the context of more general models for the conditional (QMLE) of parameters in the covariance. including parametric, nonparametric, or semiparametric. We also consider the possibility of rough mean regression function and introduce the difference-based method to reduce biases in the context of varying-coefficient partially linear mean regression Models. This provides a more robust estimator of the covariance function under a wider range of situation,. Under some technical conditions. consistency and asymptotic normality are obtained for the QMLE of of the Parameters ill the correlation function. Simulation Studies and a real data example are used to illustrate the Proposed approach.
WOS研究方向	Mathematics
语种	英语
出版者	AMER STATISTICAL ASSOC
WOS记录号	WOS:000263008900020
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2517]
专题	上海财经大学
通讯作者	Fan, Jianqing
作者单位	1.Princeton Univ, Dept Operat Res & Financial Engn, Princeton, NJ 08544 USA; 2.Shanghai Univ Finance & Econ, Dept Stat, Shanghai, Peoples R China; 3.N Carolina State Univ, Dept Stat, Raleigh, NC 27695 USA
推荐引用方式 GB/T 7714	Fan, Jianqing,Wu, Yichao. Semiparametric Estimation of Covariance Matrixes for Longitudinal Data[J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,2008,103(484):1520-1533.
APA	Fan, Jianqing,&Wu, Yichao.(2008).Semiparametric Estimation of Covariance Matrixes for Longitudinal Data.JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,103(484),1520-1533.
MLA	Fan, Jianqing,et al."Semiparametric Estimation of Covariance Matrixes for Longitudinal Data".JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION 103.484(2008):1520-1533.