ESL-Based Robust Estimation for Mean-Covariance Regression with Longitudinal Data

• 作者: Fei Lu Liugen Xue Xiong Cai
• 来源期刊: 统计学期刊(英文)
• 学科: 文学
• 关键词: EXPONENTIAL Squared Loss Function Within-Subject Correlation Longitudinal Data Modified Cholesky DECOMPOSITION ROBUSTNESS
• 年，卷（期）: 2020,（1）
• 页码范围: 10-30
• 页数: 21页
• 分类号: H31

摘要

When longitudinal data contains outliers, the classical least-squares approach is known to be not robust. To solve this issue, the exponential squared loss (ESL) function with a tuning parameter has been investigated for longitudinal data. However, to our knowledge, there is no paper to investigate the robust estimation procedure against outliers within the framework of mean-covariance regression analysis for longitudinal data using the ESL function. In this paper, we propose a robust estimation approach for the model parameters of the mean and generalized autoregressive parameters with longitudinal data based on the ESL function. The proposed estimators can be shown to be asymptotically normal under certain conditions. Moreover, we develop an iteratively reweighted least squares (IRLS) algorithm to calculate the parameter estimates, and the balance between the robustness and efficiency can be achieved by choosing appropriate data adaptive tuning parameters. Simulation studies and real data analysis are carried out to illustrate the finite sample performance of the proposed approach.