Joint Variable Selection of Mean-Covariance Model for Longitudinal Data

Dengke  Xu; Zhongzhan  Zhang; Liucang  Wu

doi:10.4236/ojs.2013.31004

Dengke Xu, Zhongzhan Zhang, Liucang Wu

Abstract: In this paper we reparameterize covariance structures in longitudinal data analysis through the modified Cholesky decomposition of itself. Based on this modified Cholesky decomposition, the within-subject covariance matrix is decomposed into a unit lower triangular matrix involving moving average coefficients and a diagonal matrix involving innovation variances, which are modeled as linear functions of covariates. Then, we propose a penalized maximum likelihood method for variable selection in joint mean and covariance models based on this decomposition. Under certain regularity conditions, we establish the consistency and asymptotic normality of the penalized maximum likelihood estimators of parameters in the models. Simulation studies are undertaken to assess the finite sample performance of the proposed variable selection procedure.

Keywords: Joint Mean and Covariance Models; Variable Selection; Cholesky Decomposition; Longitudinal Data; Penalized Maximum Likelihood Method

Cite this paper: D. Xu, Z. Zhang and L. Wu, "Joint Variable Selection of Mean-Covariance Model for Longitudinal Data," Open Journal of Statistics, Vol. 3 No. 1, 2013, pp. 27-35. doi: 10.4236/ojs.2013.31004.

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