Variance reduction for kernel estimators in clustered/longitudinal data analysis

Ming-Yen Cheng, Robert L. Paige, Shan Sun, Ke Yan

Research output: Contribution to journalArticlepeer-review

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.

Original languageEnglish
Pages (from-to)1389-1397
JournalJournal of Statistical Planning and Inference
Volume140
Issue number6
DOIs
Publication statusPublished - Jun 2010

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