Xu, Jing (2012) Modelling covariance structure in bivariate marginal models for longitudinal data. Biometrika 2012 (3), pp. 649-662. ISSN 1464-3510.
![[img]](https://eprints.bbk.ac.uk/style/images/fileicons/text.png) |
Text (Refereed)
649.full.pdf - Published Version of Record Restricted to Repository staff only Download (205kB) |
Abstract
It can be more challenging to efficiently model the covariance matrices for multivariate longitudinal data than for the univariate case, due to the correlations arising between multiple responses. The positive-definiteness constraint and the high dimensionality are further obstacles in covariance modelling. In this paper, we develop a data-based method by which the parameters in the covariancematrices are replaced by unconstrained and interpretable parameterswith reduced dimensions. The maximum likelihood estimators for the mean and covariance parameters are shown to be consistent and asymptotically normally distributed. Simulations and real data analysis show that the new approach performs very well even when modelling bivariate nonstationary dependence structures.
Metadata
| Item Type: | Article |
|---|---|
| Keyword(s) / Subject(s): | bivariate marginal model, block triangular factorization, covariance modelling, log-innovation matrix modelling, longitudinal data, matrix logarithm |
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Jing Xu |
| Date Deposited: | 25 Jan 2013 10:04 |
| Last Modified: | 02 Aug 2023 16:59 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/5439 |
Statistics
Additional statistics are available via IRStats2.
Archive Staff Only (login required)
