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Estimation of covariance matrix of multivariate longitudinal data using modified Choleksky and hypersphere decompositions
Author(s) -
Lee Keunbaik,
Cho Hyunsoon,
Kwak MinSun,
Jang Eun Jin
Publication year - 2020
Publication title -
biometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.298
H-Index - 130
eISSN - 1541-0420
pISSN - 0006-341X
DOI - 10.1111/biom.13113
Subject(s) - covariance matrix , cholesky decomposition , mathematics , heteroscedasticity , estimation of covariance matrices , covariance , matérn covariance function , rational quadratic covariance function , hypersphere , homoscedasticity , statistics , covariance intersection , eigenvalues and eigenvectors , physics , geometry , quantum mechanics
Abstract Linear models are typically used to analyze multivariate longitudinal data. With these models, estimating the covariance matrix is not easy because the covariance matrix should account for complex correlated structures: the correlation between responses at each time point, the correlation within separate responses over time, and the cross‐correlation between different responses at different times. In addition, the estimated covariance matrix should satisfy the positive definiteness condition, and it may be heteroscedastic. However, in practice, the structure of the covariance matrix is assumed to be homoscedastic and highly parsimonious, such as exchangeable or autoregressive with order one. These assumptions are too strong and result in inefficient estimates of the effects of covariates. Several studies have been conducted to solve these restrictions using modified Cholesky decomposition (MCD) and linear covariance models. However, modeling the correlation between responses at each time point is not easy because there is no natural ordering of the responses. In this paper, we use MCD and hypersphere decomposition to model the complex correlation structures for multivariate longitudinal data. We observe that the estimated covariance matrix using the decompositions is positive‐definite and can be heteroscedastic and that it is also interpretable. The proposed methods are illustrated using data from a nonalcoholic fatty liver disease study.