Random Effects and AR(1) Errors

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dc.contributor.authorEric M. Chi
dc.contributor.authorGregory C. Reinsel
dc.date.accessioned2014-09-12T09:02:10Z
dc.date.available2014-09-12T09:02:10Z
dc.date.issued1989-06
dc.description.abstractFor longitudinal data on several individuals, linear models that contain both random effects across individuals and autocorrelation in the within-individual errors are studied. A score test for autocorrelation in the within-individual errors for the "conditional independence" random effects model is first developed. An explicil maximum likelihood estimation procedure using the scoring method for the model with random effects and (autoregrcssive) AR{!) errors is then derived. Empirical Bayes estimation of the random effects and prediction of future responses of an individual based on this random effects with AR(i) errors model are also considered. A numerical example is presented to illustrate these methods.en_US
dc.identifier.citationJournal of the American Statistical Association, June 1989, Vol.84 No.406en_US
dc.identifier.urihttp://hdl.handle.net/123456789/5667
dc.language.isoenen_US
dc.subjectAutoregressive modelen_US
dc.subjectEmpirical Bayes estimateen_US
dc.subjectMaximum likelihood estimationen_US
dc.subjectPredictionen_US
dc.subjectScore testen_US
dc.titleRandom Effects and AR(1) Errorsen_US
dc.typeArticleen_US

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