Efficient parameter estimation via modified Cholesky decomposition for quantile regression with longitudinal data

Jing Lv and Chaohui Guo ()
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Jing Lv: Southwest University
Chaohui Guo: Chongqing Normal University

Computational Statistics, 2017, vol. 32, issue 3, No 7, 947-975

Abstract: Abstract It is well known that specifying a covariance matrix is difficult in the quantile regression with longitudinal data. This paper develops a two step estimation procedure to improve estimation efficiency based on the modified Cholesky decomposition. Specifically, in the first step, we obtain the initial estimators of regression coefficients by ignoring the possible correlations between repeated measures. Then, we apply the modified Cholesky decomposition to construct the covariance models and obtain the estimator of within-subject covariance matrix. In the second step, we construct unbiased estimating functions to obtain more efficient estimators of regression coefficients. However, the proposed estimating functions are discrete and non-convex. We utilize the induced smoothing method to achieve the fast and accurate estimates of parameters and their asymptotic covariance. Under some regularity conditions, we establish the asymptotically normal distributions for the resulting estimators. Simulation studies and the longitudinal progesterone data analysis show that the proposed approach yields highly efficient estimators.

Keywords: Induced smoothing; Longitudinal data; Modified Cholesky decomposition; Quantile regression (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00180-017-0714-6

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