EconStor >
Humboldt-Universität Berlin >
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/56725
  
Title:A confidence corridor for sparse longitudinal data curves PDF Logo
Authors:Zheng, Shuzhuan
Yang, Lijian
Härdle, Wolfgang K.
Issue Date:2010
Series/Report no.:SFB 649 discussion paper 2011-002
Abstract:Longitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the mean function a challenging task on both the theoretical and the practical side. Here we propose a method based on local linear smoothing that is implemented in the sparse (i.e., low number of nonzero coefficients) modelling situation. An SCC is constructed based on recent results obtained in applied probability theory. The precision and performance is demonstrated in a spectrum of simulations and applied to growth curve data. Technically speaking, our paper intensively uses recent insights into extreme value theory that are also employed to construct a shoal of confidence intervals (SCI).
Subjects:longitudinal data
confidence band
Karhunen-Loève L2 representation
local linear estimator
extreme value
double sum
strong approximation
JEL:C14
C33
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
642764220.pdf700.8 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/56725

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.