Variance Reduction for Kernel Estimators in Clustered/longitudinal Data Analysis

Editor(s)

DasGupta, A. and Dette, H. and Loh, W. -L.

Abstract

We develop a variance reduction method for the seemingly unrelated (SUR) kernel estimator of Wang (2003). We show that the quadratic interpolation method introduced in Cheng et al. (2007) works for the SUR kernel estimator. For a given point of estimation, Cheng et al. (2007) define a variance reduced local linear estimate as a linear combination of classical estimates at three nearby points. We develop an analogous variance reduction method for SUR kernel estimators in clustered/longitudinal models and perform simulation studies which demonstrate the efficacy of our variance reduction method in finite sample settings.

Department(s)

Mathematics and Statistics

Keywords and Phrases

variance reduction; seemingly unrelated kernel estimator; clustered/longitudinal data

International Standard Serial Number (ISSN)

0378-3758

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2010 Elsevier, All rights reserved.

Publication Date

01 Jan 2010

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