Abstract:In this study, a longitudinal regression model for covariance matrix outcomes is introduced.The proposal considers a multilevel generalized linear model for regressing covariance matrices on (time-varying) predictors. This model simultaneously identifies covariate associated components from covariance matrices, estimates regression coefficients, and estimates the within-subject variation in the covariance matrices. Optimal estimators are proposed for both low-dimensional and high-dimensional cases by maximizin… Show more
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