Penalized empirical likelihood for longitudinal expectile regression with growing dimensional data

Abstract

Expectile regression (ER) naturally extends the classical least squares to investigate heterogeneous effects of covariates on the distribution of the response variable. In this paper, we propose a penalized empirical likelihood (PEL) based ER estimator, which incorporates quadratic inference function and generalized estimating equation to construct the PEL procedure for longitudinal data. We investigate the asymptotic properties of the PEL estimator when the number of covariates is allowed to diverge as the sample size increases. The finite-sample performance of the proposed estimator is studied through simulations, and an application to yeast cell-cycle gene expression data is also presented.