Estimation of the covariance matrix of random effects in longitudinal studies

doi:10.1214/009053607000000523

CORC > 上海财经大学 > 上海财经大学

	Estimation of the covariance matrix of random effects in longitudinal studies
	Sun, Yan 1; Zhang, Wenyang 2; Tong, Howell 3
刊名	ANNALS OF STATISTICS
	2007-12
卷号	35 期号:6 页码:2795-2814
关键词	varying-coefficient models random effects within cluster correlation structure restricted maximum likelihood estimation
ISSN号	0090-5364
DOI	10.1214/009053607000000523
英文摘要	Longitudinal studies are often conducted to explore the cohort and age effects in many scientific areas. The within cluster correlation structure plays a very important role in longitudinal data analysis. This is because not only can an estimator be improved by incorporating the within cluster correlation structure into the estimation procedure, but also the within cluster correlation structure can sometimes provide valuable insights in practical problems. For example, it can reveal the correlation strengths among the impacts of various factors. Motivated by data typified by a set from Bangladesh pertinent to the use of contraceptives, we propose a random effect varying-coefficient model, and an estimation procedure for the within cluster correlation structure of the proposed model. The estimation procedure is optimization-free and the proposed estimators enjoy asymptotic normality under mild conditions. Simulations suggest that the proposed estimation is practicable for finite samples and resistent against mild forms of model m is specification. Finally, we analyze the data mentioned above with the new random effect varying-coefficient model together with the proposed estimation procedure, which reveals some interesting sociological dynamics.
WOS研究方向	Mathematics
语种	英语
出版者	INST MATHEMATICAL STATISTICS
WOS记录号	WOS:000253077800023
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/2577]
专题	上海财经大学
通讯作者	Sun, Yan
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, Shanghai, Peoples R China; 2.Univ Kent, Inst Math Stat & Actuarial Sci, Canterbury CT2 7NF, Kent, England; 3.London Sch Econ, Dept Stat, London WC2A 2AE, England
推荐引用方式 GB/T 7714	Sun, Yan,Zhang, Wenyang,Tong, Howell. Estimation of the covariance matrix of random effects in longitudinal studies[J]. ANNALS OF STATISTICS,2007,35(6):2795-2814.
APA	Sun, Yan,Zhang, Wenyang,&Tong, Howell.(2007).Estimation of the covariance matrix of random effects in longitudinal studies.ANNALS OF STATISTICS,35(6),2795-2814.
MLA	Sun, Yan,et al."Estimation of the covariance matrix of random effects in longitudinal studies".ANNALS OF STATISTICS 35.6(2007):2795-2814.