Efficient Semiparametric Regression for Longitudinal Data with Regularized Estimation of Error Covariance Function.

ABSTRACT

Improving estimation efficiency for regression coefficients is an important issue in the analysis of longitudinal data, which involves estimating the covariance matrix of errors. But challenges arise in estimating the covariance matrix of longitudinal data collected at irregular or unbalanced time points. In this paper, we develop a regularization method for estimating the covariance function and a stepwise procedure for estimating the parametric components efficiently in the varying-coefficient partially linear model. This procedure is also applicable to the varying-coefficient temporal mixed effects model. Our method utilizes the structure of the covariance function and thus has faster rates of convergence in estimating the covariance functions and outperforms the existing approaches in simulation studies. This procedure is easy to implement and its numerical performance is investigated using both simulated and real data.