Estimation for a marginal generalized single-index longitudinal model

Peirong Xu and Lixing Zhu

Journal of Multivariate Analysis, 2012, vol. 105, issue 1, 285-299

Abstract: In this paper, we suggest an estimating equations based approach to study a general single-index model with a given out-layer link for longitudinal data and treat the classical one as its special case. Within a wide range of bandwidths which is for estimating the inner-layer nonparametric link, the root-n consistency of the estimator of the index can be proved. The estimation efficiency can be achieved even when there is an infinite-dimensional nuisance parameter to be estimated. The performance of the new method is assessed through the comparison with other existing methods and through an application to an epileptic seizure study.

Keywords: Generalized single-index models; Estimating equations; Longitudinal data; Index coefficients; Asymptotic properties (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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DOI: 10.1016/j.jmva.2011.10.004

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