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Extended Gauss-Markov Theorem for Nonparametric Mixed-Effects Models

Author

Listed:
  • Huang, Su-Yun
  • Lu, Henry Horng-Shing

Abstract

The Gauss-Markov theorem provides a golden standard for constructing the best linear unbiased estimation for linear models. The main purpose of this article is to extend the Gauss-Markov theorem to include nonparametric mixed-effects models. The extended Gauss-Markov estimation (or prediction) is shown to be equivalent to a regularization method and its minimaxity is addressed. The resulting Gauss-Markov estimation serves as an oracle to guide the exploration for effective nonlinear estimators adaptively. Various examples are discussed. Particularly, the wavelet nonparametric regression example and its connection with a Sobolev regularization is presented.

Suggested Citation

  • Huang, Su-Yun & Lu, Henry Horng-Shing, 2001. "Extended Gauss-Markov Theorem for Nonparametric Mixed-Effects Models," Journal of Multivariate Analysis, Elsevier, vol. 76(2), pages 249-266, February.
  • Handle: RePEc:eee:jmvana:v:76:y:2001:i:2:p:249-266
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    References listed on IDEAS

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    1. Yuedong Wang, 1998. "Mixed effects smoothing spline analysis of variance," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(1), pages 159-174.
    2. Philippe Besse & J. Ramsay, 1986. "Principal components analysis of sampled functions," Psychometrika, Springer;The Psychometric Society, vol. 51(2), pages 285-311, June.
    3. J. Ramsay, 1982. "When the data are functions," Psychometrika, Springer;The Psychometric Society, vol. 47(4), pages 379-396, December.
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