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Covariance components selection in high-dimensional growth curve model with random coefficients

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  • Imori, Shinpei
  • Rosen, Dietrich von

Abstract

In this paper, the true number of covariance components in a high-dimensional growth curve model with random coefficients are selected. We propose a selection criterion based on a concept from information theory. The proposed criterion satisfies a consistency property of the true covariance components in our high-dimensional setting. The performance of the proposed methodology is illustrated in a simulation study.

Suggested Citation

  • Imori, Shinpei & Rosen, Dietrich von, 2015. "Covariance components selection in high-dimensional growth curve model with random coefficients," Journal of Multivariate Analysis, Elsevier, vol. 136(C), pages 86-94.
    • Handle: RePEc:eee:jmvana:v:136:y:2015:i:c:p:86-94
    DOI: 10.1016/j.jmva.2015.01.010
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    References listed on IDEAS

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    1. Garrett M. Fitzmaurice & Stuart R. Lipsitz & Joseph G. Ibrahim, 2007. "A Note on Permutation Tests for Variance Components in Multilevel Generalized Linear Mixed Models," Biometrics, The International Biometric Society, vol. 63(3), pages 942-946, September.
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    3. Zaixing Li & Fei Chen & Lixing Zhu, 2014. "Variance Components Testing in ANOVA-Type Mixed Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(2), pages 482-496, June.
    4. Fujikoshi, Yasunori & Enomoto, Rie & Sakurai, Tetsuro, 2013. "High-dimensional AIC in the growth curve model," Journal of Multivariate Analysis, Elsevier, vol. 122(C), pages 239-250.
    5. Ciprian M. Crainiceanu & David Ruppert, 2004. "Likelihood ratio tests in linear mixed models with one variance component," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 165-185, February.
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    7. Satkartar K. Kinney & David B. Dunson, 2007. "Fixed and Random Effects Selection in Linear and Logistic Models," Biometrics, The International Biometric Society, vol. 63(3), pages 690-698, September.
    8. Fujikoshi, Yasunori & Sakurai, Tetsuro & Yanagihara, Hirokazu, 2014. "Consistency of high-dimensional AIC-type and Cp-type criteria in multivariate linear regression," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 184-200.
    9. Fujikoshi, Yasunori & von Rosen, Dietrich, 2000. "LR Tests for Random-Coefficient Covariance Structures in an Extended Growth Curve Model," Journal of Multivariate Analysis, Elsevier, vol. 75(2), pages 245-268, November.
    10. Howard D. Bondell & Arun Krishna & Sujit K. Ghosh, 2010. "Joint Variable Selection for Fixed and Random Effects in Linear Mixed-Effects Models," Biometrics, The International Biometric Society, vol. 66(4), pages 1069-1077, December.
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    Cited by:

    1. Shinpei Imori & Dietrich Rosen & Ryoya Oda, 2022. "Growth Curve Model with Bilinear Random Coefficients," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 477-508, August.

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