Asymptotic results with estimating equations for time-evolving clustered data

DOI10.1016/J.JSPI.2021.01.006zbMATH Open1465.62119arXiv2011.14017OpenAlexW3124172696MaRDI QIDQ830743FDOQ830743

Authors: Laura Dumitrescu, Ioana Schiopu Kratina 

Publication date: 7 May 2021

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: We study the existence, strong consistency and asymptotic normality of estimators obtained from estimating functions, that are p-dimensional martingale transforms. The problem is motivated by the analysis of evolutionary clustered data, with distributions belonging to the exponential family, and which may also vary in terms of other component series. Within a quasi-likelihood approach, we construct estimating equations, which accommodate different forms of dependency among the components of the response vector and establish multivariate extensions of results on linear and generalized linear models, with stochastic covariates. Furthermore, we characterize estimating functions which are asymptotically optimal, in that they lead to confidence regions for the regression parameters which are of minimum size, asymptotically. Results from a simulation study and an application to a real dataset are included.

Full work available at URL: https://arxiv.org/abs/2011.14017

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zbMATH Keywords

strong consistencycentral limit theoremclustered dataestimating equationsoptimal parameter estimationstochastic regressors

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

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Cited In (1)

• Asymptotically optimal estimating equation with strongly consistent solutions for longitudinal data

Uses Software

• R
• forecastML

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