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Smoothed empirical likelihood inference via the modified Cholesky decomposition for quantile varying coefficient models with longitudinal data

Author

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  • Jing Lv

    (Southwest University)

  • Chaohui Guo

    (Chongqing Normal University)

  • Jibo Wu

    (Chongqing University of Arts and Sciences)

Abstract

It is essential to deal with the within-subject correlation among repeated measures over time to improve statistical inference efficiency. However, it is a challenging task to correctly specify a working correlation in quantile regression with longitudinal data. In this paper, we first develop an adaptive approach to estimate the within-subject covariance matrix of quantile regression by applying a modified Cholesky decomposition. Then, weighted kernel GEE-type quantile estimating equations are proposed for varying coefficient functions. Note that the proposed estimating equations include a discrete indicator function, which results in some problems for computation and asymptotic analysis. Thus, we construct smoothed estimating equations by introducing a bounded kernel function. Furthermore, we develop a smoothed empirical likelihood method to improve the accuracy of interval estimation. Finally, simulation studies and a real data analysis indicate that the proposed method has superior advantages over the existing methods in terms of coverage accuracies and widths of confidence intervals.

Suggested Citation

  • Jing Lv & Chaohui Guo & Jibo Wu, 2019. "Smoothed empirical likelihood inference via the modified Cholesky decomposition for quantile varying coefficient models with longitudinal data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(3), pages 999-1032, September.
    • Handle: RePEc:spr:testjl:v:28:y:2019:i:3:d:10.1007_s11749-018-0616-0
    DOI: 10.1007/s11749-018-0616-0
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    References listed on IDEAS

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