Yaohua Rong, Manlai Tang, Maozai Tian

【Abstract】

In this article, we consider a generalized linear partially varying-coefficient model for longitudinal data analysis. A local quasi-likelihood method is proposed to estimate the constant-coefficient and varying-coefficient functions simultaneously based on the local polynomial kernel regression. The corresponding standard error estimates are derived. Large sample properties are investigated. The proposed methodologies are demonstrated by extensive simulation studies and a real example.

【Keywords】

stock return, cross-correlation, stock cluster, phase transition, spectral analysis