A stickiness coefficient for longitudinal data

Andrea Gottlieb and Hans-Georg Müller

Computational Statistics & Data Analysis, 2012, vol. 56, issue 12, 4000-4010

Abstract: In this paper, we introduce the stickiness coefficient, a summary statistic for time-course and longitudinal data, which is designed to characterize the time dynamics of such data. The stickiness coefficient provides a simple, intuitive and informative measure that captures key information contained in time-course data. Under the assumption that the data are generated by the trajectories of a smooth underlying stochastic process, the stickiness coefficient illuminates the relationship between the value of the process at one time with the value it assumes at another time via a single numeric measure. In particular, the stickiness coefficient summarizes the extent to which deviations from the mean trajectory tend to co-vary over time. The estimation scheme we propose will allow for estimation even in the case that the longitudinal data are sparsely observed at irregular times and may be corrupted by noise. We demonstrate an estimation procedure for the stickiness coefficient and establish asymptotic consistency as well as asymptotic convergence rates. We illustrate the resulting stickiness coefficient with some theoretical calculations as well as several economic and health related data examples.

Keywords: Functional data analysis; Longitudinal data; Empirical dynamics (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167947312001351
Full text for ScienceDirect subscribers only.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:12:p:4000-4010

DOI: 10.1016/j.csda.2012.03.009

Access Statistics for this article

Computational Statistics & Data Analysis is currently edited by S.P. Azen

More articles in Computational Statistics & Data Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().