JSM 2003 Online Program

Abstract #300165

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Activity Number:	111
Type:	Topic Contributed
Date/Time:	Monday, August 4, 2003 : 10:30 AM to 12:20 PM
Sponsor:	ENAR
Abstract - #300165
Title:	Efficient Estimation in Varying-Coefficient Generalized Linear Models
Author(s):	Peter X. Song*+
Companies:	York University
Address:	Dept. of Math & Stat., Toronto, ON, M3J,
Keywords:	local quasi-likelihood ; repeated measurements ; regression models ; SUR kernel ; varying-coefficient functionals
Abstract:	Local quasi-likelihood inference based on the conventional kernels has been widely studied in estimating coefficient functionals in varying-coefficient regression models. A well-known drawback of such an approach is the neglect of the correlation for repeated measurements. To overcome this problem, we apply Wang's (2003) SUR (seemingly unrelated) kernel to form a new class of local quasi-likelihood functions for the estimation of the coefficient functionals. The resulting estimators are proved to be asymptotically as efficient as given by the smoothing spline. Simulation and data examples will be discussed.

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