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

DOI10.1016/J.JMVA.2011.08.009MaRDI QIDQ764510zbMATHOpenAlexFDO

Authors Peng Lai, Heng Lian, Qihua Wang

Publication date 13 March 2012

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

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

zbMATH Keywords

variable selectionlongitudinal datageneralized estimating equationoracle propertysingle-index model

Mathematics Subject Classification ID

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

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.

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Cited in

(27)

• A robust and efficient estimation method for single index models
• Efficient estimation for time-dynamic longitudinal single-index model
• Quantile estimations via modified Cholesky decomposition for longitudinal single-index models
• Copula and composite quantile regression-based estimating equations for longitudinal data
• Profile composite quantile regression and variable selection for longitudinal data single-index models
• Smooth-threshold estimating equations for varying coefficient partially nonlinear models based on orthogonality-projection method
• Modified SEE variable selection for varying coefficient instrumental variable models
• Smooth-threshold GEE variable selection for varying coefficient partially linear models with longitudinal data
• Instrumental variable based variable selection for generalized linear models with endogenous covariates
• Quadratic inference functions for partially linear single-index models with longitudinal data
• Robust and efficient estimating equations for longitudinal data partial linear models and its applications
• 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
• Gaussian copula based composite quantile regression in semivarying models with longitudinal data
• Variable selection and estimation for partially linear single-index models with longitudinal data
• Automatic variable selection for partially linear functional additive model and its application to the Tecator data set
• Feature screening of quadratic inference functions for ultrahigh dimensional longitudinal data
• Some design considerations for cluster randomized trials with binary responses
• Instrumental variable based SEE variable selection for Poisson regression models with endogenous covariates
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• Stagewise generalized estimating equations with grouped variables
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• Modified see variable selection for linear instrumental variable regression models
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• Adaptive varying-coefficient linear quantile model: a profiled estimating equations approach

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