The Analysis of Panel Data under a Markov Assumption
The Analysis of Panel Data under a Markov Assumption
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DOI：
10.1080/01621459.1985.10478195
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发表时间：
1985
影响因子：
3.7
通讯作者：
J. Kalbfleisch;J. Lawless
中科院分区：
文献类型：
--
作者：
J. Kalbfleisch;J. Lawless
摘要提出了连续时间马尔可夫模型下的面板数据分析方法。我们提出的程序获得最大似然估计和相关的渐近协方差矩阵的过渡强度参数在时间齐次模型，以及其他过程的特点，如平均逗留时间和平衡分布。概括处理协方差分析和某些非齐次模型的拟合，并讨论了一个例子的基础上纵向研究的吸烟习惯的学童。嵌入性和估计的问题进行了检查。
Abstract Methods for the analysis of panel data under a continuous-time Markov model are proposed. We present procedures for obtaining maximum likelihood estimates and associated asymptotic covariance matrices for transition intensity parameters in time homogeneous models, and for other process characteristics such as mean sojourn times and equilibrium distributions. Generalizations to handle covariance analysis and to the fitting of certain nonhomogeneous models are presented, and an example based on a longitudinal study of the smoking habits of school children is discussed. Questions of embeddability and estimation are examined.