Statistics and Its Interface

Volume 12 (2019)

Number 4

Subject-wise empirical likelihood inference for robust joint mean-covariance model with longitudinal data

Pages: 617 – 630

DOI: https://dx.doi.org/10.4310/SII.2019.v12.n4.a10

Authors

Jing Lv (School of Mathematics and Statistics, Southwest University, Chongqing, China)

Chaohui Guo (College of Mathematics Science, Chongqing Normal University, Chongqing, China)

Jibo Wu (School of Mathematics and Finances, Chongqing University of Arts and Sciences, Chongqing, China)

Abstract

In longitudinal studies, one of the biggest challenges is how to obtain a good estimator of covariance matrix to improve the estimation efficiency of the mean regression coefficients. Meanwhile, one outlier in a subject level may generate multiple outliers in the sample due to repeated measurements. To solve these problems, this paper develops a robust joint mean–covariance model using the bounded exponential score function and modified Cholesky decomposition. The motivation for this new procedure is that it enables us to achieve high effectiveness and robustness simultaneously by introducing an additional tuning parameter $\gamma$ which can be automatically selected using a data-driven procedure. In addition, we propose a subject-wise empirical likelihood to construct the confidence intervals/regions for the mean regression coefficients. Furthermore, under some mild conditions, we have established asymptotic theories of the proposed procedures. Finally, simulation studies are constructed to evaluate the finite sample performance of the proposed methods. A practical progesterone example is used to demonstrate the superiority of our proposed method.

Keywords

empirical likelihood, exponential score function, longitudinal data, modified Cholesky decomposition, robustness and effectiveness

2010 Mathematics Subject Classification

62H12

Full Text (PDF format)

Received 14 April 2018

Published 18 July 2019