You are here: MIMS > EPrints
MIMS EPrints

2009.47: Semiparametric Mean-Covariance Regression Analysis for Longitudinal Data

2009.47: Chenlei Leng, Weiping Zhang and Jianxin Pan (2009) Semiparametric Mean-Covariance Regression Analysis for Longitudinal Data.

Full text available as:

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
302 Kb


E±cient estimation of the regression coe±cients in longitudinal data anal- ysis requires a correct speci¯cation of the covariance structure. Existing ap- proaches usually focus on modeling the mean with speci¯cation of certain co- variance structures, which may lead to ine±cient or biased estimators of pa- rameters in the mean if misspeci¯cation occurs. In this paper, we propose a data-driven approach based on semiparametric regression models for the mean and the covariance simultaneously, motivated by the modi¯ed Cholesky de- composition. A regression spline based approach using generalized estimating equations is developed to estimate the parameters in the mean and the covari- ance. The resulting estimators for the regression coe±cients in both the mean and the covariance are shown to be consistent and asymptotically normally dis- tributed. In addition, the nonparametric functions in these two structures are estimated at their optimal rate of convergence. Simulation studies and a real data analysis show that the proposed approach yields highly e±cient estimators for the parameters in the mean, and provides parsimonious estimation for the covariance structure.

Item Type:MIMS Preprint
Uncontrolled Keywords:Covariance misspecification; Efficiency; Generalized estimating equation; Longitudinal data; Modified Cholesky decomposition; Semiparametric models
Subjects:MSC 2000 > 62 Statistics
MIMS number:2009.47
Deposited By:Ms Lucy van Russelt
Deposited On:09 July 2009

Download Statistics: last 4 weeks
Repository Staff Only: edit this item