Variance reduction for kernel estimators in clustered/longitudinal data analysis
Resource
Journal of Statistical Planning and Inference, 140, 1389-1397
Journal
Journal of Statistical Planning and Inference
Journal Volume
140
Journal Issue
6
Pages
1389-1397
Date Issued
2010
Author(s)
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.
Type
journal article
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