Time-varying coefficient models with ARMA-GARCH structures for longitudinal data analysis

Haiyan Zhao, Fred Huffer and Xu-Feng Niu

Journal of Applied Statistics, 2015, vol. 42, issue 2, 309-326

Abstract: Time-varying coefficient models with autoregressive and moving-average-generalized autoregressive conditional heteroscedasticity structure are proposed for examining the time-varying effects of risk factors in longitudinal studies. Compared with existing models in the literature, the proposed models give explicit patterns for the time-varying coefficients. Maximum likelihood and marginal likelihood (based on a Laplace approximation) are used to estimate the parameters in the proposed models. Simulation studies are conducted to evaluate the performance of these two estimation methods, which is measured in terms of the Kullback-Leibler divergence and the root mean square error. The marginal likelihood approach leads to the more accurate parameter estimates, although it is more computationally intensive. The proposed models are applied to the Framingham Heart Study to investigate the time-varying effects of covariates on coronary heart disease incidence. The Bayesian information criterion is used for specifying the time series structures of the coefficients of the risk factors.

Date: 2015
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DOI: 10.1080/02664763.2014.949638

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