Bias-corrected GEE estimation and smooth-threshold GEE variable selection for single-index models with clustered data

DOI10.1016/J.JMVA.2011.08.009zbMATH Open1274.62245arXiv1108.1260OpenAlexW2100710950MaRDI QIDQ764510FDOQ764510

Authors: Peng Lai, Heng Lian, Qihua Wang 

Publication date: 13 March 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: In this paper, we present a generalized estimating equations based estimation approach and a variable selection procedure for single-index models when the observed data are clustered. Unlike the case of independent observations, bias-correction is necessary when general working correlation matrices are used in the estimating equations. Our variable selection procedure based on smooth-threshold estimating equations citep{Ueki-2009} can automatically eliminate irrelevant parameters by setting them as zeros and is computationally simpler than alternative approaches based on shrinkage penalty. The resulting estimator consistently identifies the significant variables in the index, even when the working correlation matrix is misspecified. The asymptotic property of the estimator is the same whether or not the nonzero parameters are known (in both cases we use the same estimating equations), thus achieving the oracle property in the sense of cite{Fan-Li-2001}. The finite sample properties of the estimator are illustrated by some simulation examples, as well as a real data application.

Full work available at URL: https://arxiv.org/abs/1108.1260

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zbMATH Keywords

variable selectionlongitudinal datageneralized estimating equationoracle propertysingle-index model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20)

Cites Work

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Cited In (26)

• Modal regression statistical inference for longitudinal data semivarying coefficient models: generalized estimating equations, empirical likelihood and variable selection
• Smooth-Threshold GEE Variable Selection in High-Dimensional Partially Linear Models with Longitudinal Data
• Smooth-threshold estimating equations for varying coefficient partially nonlinear models based on orthogonality-projection method
• Variable selection and estimation for partially linear single-index models with longitudinal data
• A robust and efficient estimation method for single index models
• Robust and efficient estimating equations for longitudinal data partial linear models and its applications
• Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach
• Modified see variable selection for linear instrumental variable regression models
• Smoothing combined generalized estimating equations in quantile partially linear additive models with longitudinal data
• Simultaneous confidence band for single-index random effects models with longitudinal data
• Two step estimations for a single-index varying-coefficient model with longitudinal data
• Profile composite quantile regression and variable selection for longitudinal data single-index models
• Copula and composite quantile regression-based estimating equations for longitudinal data
• Automatic variable selection for varying coefficient models with longitudinal data
• Joint estimation for single index mean-covariance models with longitudinal data
• Quantile estimations via modified Cholesky decomposition for longitudinal single-index models
• Quadratic inference functions for partially linear single-index models with longitudinal data
• Feature screening of quadratic inference functions for ultrahigh dimensional longitudinal data
• Smooth-threshold GEE variable selection for varying coefficient partially linear models with longitudinal data
• Efficient estimation for time-dynamic longitudinal single-index model
• Instrumental variable based variable selection for generalized linear models with endogenous covariates
• Some design considerations for cluster randomized trials with binary responses
• Modified SEE variable selection for varying coefficient instrumental variable models
• Gaussian copula based composite quantile regression in semivarying models with longitudinal data
• Instrumental variable based SEE variable selection for Poisson regression models with endogenous covariates
• Automatic variable selection for partially linear functional additive model and its application to the Tecator data set

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