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A Gaussian pseudolikelihood approach for quantile regression with repeated measurements

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  • Fu, Liya
  • Wang, You-Gan
  • Zhu, Min

Abstract

To enhance the efficiency of regression parameter estimation by modeling the correlation structure of correlated binary error terms in quantile regression with repeated measurements, we propose a Gaussian pseudolikelihood approach for estimating correlation parameters and selecting the most appropriate working correlation matrix simultaneously. The induced smoothing method is applied to estimate the covariance of the regression parameter estimates, which can bypass density estimation of the errors. Extensive numerical studies indicate that the proposed method performs well in selecting an accurate correlation structure and improving regression parameter estimation efficiency. The proposed method is further illustrated by analyzing a dental dataset.

Suggested Citation

  • Fu, Liya & Wang, You-Gan & Zhu, Min, 2015. "A Gaussian pseudolikelihood approach for quantile regression with repeated measurements," Computational Statistics & Data Analysis, Elsevier, vol. 84(C), pages 41-53.
    • Handle: RePEc:eee:csdana:v:84:y:2015:i:c:p:41-53
    DOI: 10.1016/j.csda.2014.11.002
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    References listed on IDEAS

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    1. Guosheng Yin & Jianwen Cai, 2005. "Quantile Regression Models with Multivariate Failure Time Data," Biometrics, The International Biometric Society, vol. 61(1), pages 151-161, March.
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    6. You-Gan Wang & Yuning Zhao, 2007. "A Modified Pseudolikelihood Approach for Analysis of Longitudinal Data," Biometrics, The International Biometric Society, vol. 63(3), pages 681-689, September.
    7. Fu, Liya & Wang, You-Gan, 2012. "Quantile regression for longitudinal data with a working correlation model," Computational Statistics & Data Analysis, Elsevier, vol. 56(8), pages 2526-2538.
    8. Cheng Yong Tang & Chenlei Leng, 2011. "Empirical likelihood and quantile regression in longitudinal data analysis," Biometrika, Biometrika Trust, vol. 98(4), pages 1001-1006.
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    Cited by:

    1. Lv, Jing & Guo, Chaohui & Yang, Hu & Li, Yalian, 2017. "A moving average Cholesky factor model in covariance modeling for composite quantile regression with longitudinal data," Computational Statistics & Data Analysis, Elsevier, vol. 112(C), pages 129-144.
    2. Jing Lv & Chaohui Guo, 2017. "Efficient parameter estimation via modified Cholesky decomposition for quantile regression with longitudinal data," Computational Statistics, Springer, vol. 32(3), pages 947-975, September.
    3. Philip M. Westgate & Woodrow W. Burchett, 2017. "A Comparison of Correlation Structure Selection Penalties for Generalized Estimating Equations," The American Statistician, Taylor & Francis Journals, vol. 71(4), pages 344-353, October.

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