QUANTILE REGRESSION IN PARTIALLY LINEAR VARYING COEFFICIENT MODELS

• 成果类型: Article
• 署名作者: Wang, Huixia Judy; Zhu, Zhongyi; Zhou, Jianhui
• 署名单位: North Carolina State University; University of Virginia; Fudan University
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/09-AOS695
• 发表日期: 2009
• 页码: 3841-3866
• 关键词: Longitudinal Data; parameters

摘要

Semiparametric models are often considered for analyzing longitudinal data for a good balance between flexibility and parsimony. In this paper, we study a class of marginal partially linear quantile models with possibly varying coefficients. The functional coefficients are estimated by basis function approximations. The estimation procedure is easy to implement, and it requires no specification of the error distributions. The asymptotic properties of the proposed estimators are established for the varying coefficients as well as for the constant coefficients. We develop rank score tests for hypotheses on the coefficients, including the hypotheses on the constancy of a subset of the varying coefficients. Hypothesis testing of this type is theoretically challenging, as the dimensions of the parameter spaces under both the null and the alternative hypotheses are growing with the sample size. We assess the finite sample performance of the proposed method by Monte Carlo simulation studies, and demonstrate its value by the analysis of an AIDS data set, where the modeling of quantiles provides more comprehensive information than the usual least squares approach.