SERIAL-CORRELATION IN UNEQUALLY SPACED LONGITUDINAL DATA

被引:51
作者
JONES, RH [1 ]
ACKERSON, LM [1 ]
机构
[1] NATL JEWISH CTR IMMUNOL & RESP MED,DEPT BIOMETR,DENVER,CO 80206
关键词
Continuous time ARMA model; Exact likelihood; Growth curve; Kalman filter; Longitudinal data; Serial correlation; State space representation; Unequally spaced observations;
D O I
10.1093/biomet/77.4.721
中图分类号
Q [生物科学];
学科分类号
07 ; 0710 ; 09 ;
摘要
Serial correlation in the within subject error structure in longitudinal data with unequally spaced observations is modelled using continuous time autoregressive moving averages. The models considered have both fixed and random effects in addition to serially correlated within subject errors. Two approaches are presented for calculating the exact likelihood for a model when the errors are Gaussian. The first calculates the covariance matrices for each subject for assumed values of the unknown parameters and estimates the fixed parameters by weighted least squares. The second uses a state space model and the Kalman filter to calculate the exact likelihood. Both methods involve the use of complex arithmetic. Nonlinear optimization is used to obtain maximum likelihood estimates of the parameters. © 1990 Biometrika Trust.
引用
收藏
页码:721 / 731
页数:11
相关论文
共 20 条
[11]  
JONES RH, 1986, ESSAYS TIME SERIES A, V23, P89
[12]  
Kalman R. E., 1961, J BASIC ENG-T ASME, V83, P95, DOI DOI 10.1115/1.3658902
[13]  
Kalman R. E., 1960, J BASIC ENG-T ASME, V82, P35, DOI [10.1115/1.3662552, DOI 10.1115/1.3662552]
[14]   RANDOM-EFFECTS MODELS FOR LONGITUDINAL DATA [J].
LAIRD, NM ;
WARE, JH .
BIOMETRICS, 1982, 38 (04) :963-974
[15]   19 DUBIOUS WAYS TO COMPUTE EXPONENTIAL OF A MATRIX [J].
MOLER, C ;
VANLOAN, C .
SIAM REVIEW, 1978, 20 (04) :801-836
[16]  
POTTHOFF RF, 1964, BIOMETRIKA, V51, P313, DOI [10.1093/biomet/51.3-4.313, 10.2307/2334137]
[17]   MAXIMUM-LIKELIHOOD ESTIMATION FOR INCOMPLETE REPEATED-MEASURES EXPERIMENTS UNDER AN ARMA COVARIANCE STRUCTURE [J].
ROCHON, J ;
HELMS, RW .
BIOMETRICS, 1989, 45 (01) :207-218
[18]   AUTOGREGRESSIVE MODELING FOR THE ANALYSIS OF LONGITUDINAL DATA WITH UNEQUALLY SPACED EXAMINATIONS [J].
ROSNER, B ;
MUNOZ, A .
STATISTICS IN MEDICINE, 1988, 7 (1-2) :59-71
[19]   EVALUATION OF LIKELIHOOD FUNCTIONS FOR GAUSSIAN SIGNALS [J].
SCHWEPPE, FC .
IEEE TRANSACTIONS ON INFORMATION THEORY, 1965, 11 (01) :61-70
[20]  
Wiberg D. M., 1971, STATE SPACE LINEAR S