Componentwise B-spline estimation for varying coefficient models with longitudinal data |
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Authors: | Tang Qingguo Cheng Longsheng |
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Institution: | 1. School of Economics and Management, Nanjing University of Science and Technology, Nanjing, 210094, China 2. Institute of Sciences, PLA University of Science and Technology, Nanjing, 210007, China
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Abstract: | A componentwise B-spline method is proposed for estimating the unknown functions in the varying-coefficient models with longitudinal data. Different amounts of smoothing are used for different individual coefficient functions and the estimators of different coefficient functions are obtained by different minimization operations. The local asymptotic bias and variance of the estimators are derived. It is shown that our estimators achieve the local and global optimal convergence rates even if the coefficient functions belong to different smoothness families. The asymptotic distributions of the estimators are also established and are used to construct approximate pointwise confidence intervals for coefficient functions. Finite sample properties of our procedures are studied through Monte Carlo simulations. |
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