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Statistical Inference for Multivariate Longitudinal Data with Irregular Auto-correlated Error Process
澳门新葡8455最新网站:2017年04月11日 14:29 点击数:

报告人:黄涛

报告地点:澳门新葡8455最新网站四楼报告厅

报告澳门新葡8455最新网站:2017年04月14日星期五14:00-15:00

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报告摘要:

Multivariate longitudinal data arise frequently in different application fields, where multiple outcomes are measured repeatedly from the same subject. In this paper, we first propose a two-stage weighted least squares estimation procedure for the regression coefficients when the random error follows an irregular autoregressive process, and establish asymptotic normality properties of the resulting estimators. We then apply the SCAD variable selection approach to determine the order of the AR error process. We further propose a test statistic to check whether multiple responses are correlated at the same observation time, and derive the asymptotic distribution of the proposed test statistic. Several simulated examples and a real data analysis are presented to illustrate the finite sample performance of the proposed method.

主讲人概况:

黄涛现任教于上海财经大学统计与管理新葡京最新官网。主要从事高维数据分析方面的工作。

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