- Volume 20, Number 1 (2014), 141-163.
Efficient semiparametric estimation in generalized partially linear additive models for longitudinal/clustered data
We consider efficient estimation of the Euclidean parameters in a generalized partially linear additive models for longitudinal/clustered data when multiple covariates need to be modeled nonparametrically, and propose an estimation procedure based on a spline approximation of the nonparametric part of the model and the generalized estimating equations (GEE). Although the model in consideration is natural and useful in many practical applications, the literature on this model is very limited because of challenges in dealing with dependent data for nonparametric additive models. We show that the proposed estimators are consistent and asymptotically normal even if the covariance structure is misspecified. An explicit consistent estimate of the asymptotic variance is also provided. Moreover, we derive the semiparametric efficiency score and information bound under general moment conditions. By showing that our estimators achieve the semiparametric information bound, we effectively establish their efficiency in a stronger sense than what is typically considered for GEE. The derivation of our asymptotic results relies heavily on the empirical processes tools that we develop for the longitudinal/clustered data. Numerical results are used to illustrate the finite sample performance of the proposed estimators.
Bernoulli Volume 20, Number 1 (2014), 141-163.
First available in Project Euclid: 22 January 2014
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Cheng, Guang; Zhou, Lan; Huang, Jianhua Z. Efficient semiparametric estimation in generalized partially linear additive models for longitudinal/clustered data. Bernoulli 20 (2014), no. 1, 141--163. doi:10.3150/12-BEJ479. https://projecteuclid.org/euclid.bj/1390407283.
- Supplementary material: Supplement to “Efficient semiparametric estimation in generalized partially linear additive models for longitudinal/clustered data”. The supplementary file (Cheng, Zhou and Huang ) includes the properties of the least favorable directions and the complete proofs of Theorems 1 and 2 together with some empirical processes results for the clustered/longitudinal data. The results of a simulation study that compares our method with that by Carroll et al.  are also included.