The robust or sandwich estimator is common to estimate the covariance matrix of the estimated regression parameter for generalized estimating equation (GEE) method to analyze longitudinal data. However, the robust estimator would underestimate the variance under a small sample size. We propose an alternative covariance estimator to the robust estimator to improve the small-sample bias in the GEE method. Our proposed estimator is a modification of the bias-corrected covariance estimator proposed by Pan (2001, Biometrika88, 901—906) for the GEE method. In a simulation study, we compared the proposed covariance estimator to the robust estimator and Pan's estimator for continuous and binominallongitudinal responses for involving 10—50 subjects. The test size of Wald-type test statistics for the proposed estimator is relatively close to the nominal level when compared with those for the robust estimator and the Pan's approach.
Published in | Science Journal of Applied Mathematics and Statistics (Volume 2, Issue 1) |
DOI | 10.11648/j.sjams.20140201.13 |
Page(s) | 20-25 |
Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
Copyright |
Copyright © The Author(s), 2014. Published by Science Publishing Group |
Bias, Binary Response, Continuous Response, Longitudinal Data, Test Size
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APA Style
Masahiko Gosho, Yasunori Sato, Hisao Takeuchi. (2014). Robust Covariance Estimator for Small-Sample Adjustment in the Generalized Estimating Equations: A Simulation Study. Science Journal of Applied Mathematics and Statistics, 2(1), 20-25. https://doi.org/10.11648/j.sjams.20140201.13
ACS Style
Masahiko Gosho; Yasunori Sato; Hisao Takeuchi. Robust Covariance Estimator for Small-Sample Adjustment in the Generalized Estimating Equations: A Simulation Study. Sci. J. Appl. Math. Stat. 2014, 2(1), 20-25. doi: 10.11648/j.sjams.20140201.13
AMA Style
Masahiko Gosho, Yasunori Sato, Hisao Takeuchi. Robust Covariance Estimator for Small-Sample Adjustment in the Generalized Estimating Equations: A Simulation Study. Sci J Appl Math Stat. 2014;2(1):20-25. doi: 10.11648/j.sjams.20140201.13
@article{10.11648/j.sjams.20140201.13, author = {Masahiko Gosho and Yasunori Sato and Hisao Takeuchi}, title = {Robust Covariance Estimator for Small-Sample Adjustment in the Generalized Estimating Equations: A Simulation Study}, journal = {Science Journal of Applied Mathematics and Statistics}, volume = {2}, number = {1}, pages = {20-25}, doi = {10.11648/j.sjams.20140201.13}, url = {https://doi.org/10.11648/j.sjams.20140201.13}, eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.sjams.20140201.13}, abstract = {The robust or sandwich estimator is common to estimate the covariance matrix of the estimated regression parameter for generalized estimating equation (GEE) method to analyze longitudinal data. However, the robust estimator would underestimate the variance under a small sample size. We propose an alternative covariance estimator to the robust estimator to improve the small-sample bias in the GEE method. Our proposed estimator is a modification of the bias-corrected covariance estimator proposed by Pan (2001, Biometrika88, 901—906) for the GEE method. In a simulation study, we compared the proposed covariance estimator to the robust estimator and Pan's estimator for continuous and binominallongitudinal responses for involving 10—50 subjects. The test size of Wald-type test statistics for the proposed estimator is relatively close to the nominal level when compared with those for the robust estimator and the Pan's approach.}, year = {2014} }
TY - JOUR T1 - Robust Covariance Estimator for Small-Sample Adjustment in the Generalized Estimating Equations: A Simulation Study AU - Masahiko Gosho AU - Yasunori Sato AU - Hisao Takeuchi Y1 - 2014/02/20 PY - 2014 N1 - https://doi.org/10.11648/j.sjams.20140201.13 DO - 10.11648/j.sjams.20140201.13 T2 - Science Journal of Applied Mathematics and Statistics JF - Science Journal of Applied Mathematics and Statistics JO - Science Journal of Applied Mathematics and Statistics SP - 20 EP - 25 PB - Science Publishing Group SN - 2376-9513 UR - https://doi.org/10.11648/j.sjams.20140201.13 AB - The robust or sandwich estimator is common to estimate the covariance matrix of the estimated regression parameter for generalized estimating equation (GEE) method to analyze longitudinal data. However, the robust estimator would underestimate the variance under a small sample size. We propose an alternative covariance estimator to the robust estimator to improve the small-sample bias in the GEE method. Our proposed estimator is a modification of the bias-corrected covariance estimator proposed by Pan (2001, Biometrika88, 901—906) for the GEE method. In a simulation study, we compared the proposed covariance estimator to the robust estimator and Pan's estimator for continuous and binominallongitudinal responses for involving 10—50 subjects. The test size of Wald-type test statistics for the proposed estimator is relatively close to the nominal level when compared with those for the robust estimator and the Pan's approach. VL - 2 IS - 1 ER -