Variance Reduction for Kernel Estimators in Clustered/longitudinal Data Analysis
DasGupta, A. and Dette, H. and Loh, W. -L.
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.
M. Cheng et al., "Variance Reduction for Kernel Estimators in Clustered/longitudinal Data Analysis," Journal of Statistical Planning and Inference, Elsevier, Jan 2010.
The definitive version is available at https://doi.org/10.1016/j.jspi.2009.09.026
Mathematics and Statistics
Keywords and Phrases
variance reduction; seemingly unrelated kernel estimator; clustered/longitudinal data
International Standard Serial Number (ISSN)
Article - Journal
© 2010 Elsevier, All rights reserved.
01 Jan 2010