m_estimate: Estimate parameters and their covariance from a set of...

In geex: An API for M-Estimation

Estimate parameters and their covariance from a set of estimating equations

Description

M-estimation theory provides a framework for asympotic properties of estimators that are solutions to estimating equations. Many R packages implement specific applications of estimating equations. geex aims to be provide a more general framework that any modelling method can use to compute point and variance estimates for parameters that are solutions to estimating equations of the form:

∑_i ψ(O_i, θ) = 0

Usage

m_estimate(
  estFUN,
  data,
  units = character(0),
  weights = numeric(0),
  outer_args = list(),
  inner_args = list(),
  roots = NULL,
  compute_roots = TRUE,
  compute_vcov = TRUE,
  Asolver = solve,
  corrections,
  deriv_control,
  root_control,
  approx_control
)

Arguments

estFUN	a function that takes in group-level data and returns a function that takes parameters as its first argument
data	a data.frame
units	an optional character string identifying the grouping variable in data
weights	an optional vector of weights. See details.
outer_args	a list of arguments passed to the outer (data) function of estFUN. (optional)
inner_args	a list of arguments passed to the inner (theta) function of estFUN. (optional)
roots	a vector of parameter estimates must be provided if compute_roots = FALSE
compute_roots	whether or not to find the roots of the estimating equations. Defaults to TRUE.
compute_vcov	whether or not to compute the variance-covariance matrix. Defaults to TRUE.
Asolver	a function passed to compute_sigma used to compute the inverse of the "bread" matrix. Defaults to solve.
corrections	an optional list of small sample corrections where each list element is a correct_control object which contains two elements: correctFUN and correctFUN_options. The function correction constructs correct_control objects. See details for more information.
deriv_control	a deriv_control object
root_control	a root_control object
approx_control	a approx_control object

Details

The basic idea of geex is for the analyst to provide at least two items:

• data

• estFUN: (the ψ function), a function that takes unit-level data and returns a function in terms of parameters (θ)

With the estFUN, geex computes the roots of the estimating equations and/or the empirical sandwich variance estimator.

The root finding algorithm defaults to multiroot to estimate roots though the solver algorithm can be specified in the rootFUN argument. Starting values for multiroot are passed via the root_control argument. See vignette("v03_root_solvers", package = "geex") for information on customizing the root solver function.

To compute only the covariance matrix, set compute_roots = FALSE and pass estimates of θ via the roots argument.

M-estimation is often used for clustered data, and a variable by which to split the data.frame into independent units is specified by the units argument. This argument defaults to NULL, in which case the number of units equals the number of rows in the data.frame.

For information on the finite-sample corrections, refer to the finite sample correction API vignette: vignette("v05_finite_sample_corrections", package = "geex")

Value

a geex object

Writing an estFUN

Description

An estFUN is a function representing ψ. geex works by breaking ψ into two parts:

• the "outer" part of the estFUN which manipulates data and outer_args and returns an

• "inner" function of theta and inner_args. Internally, this "inner" function is called psiFUN.

In pseudo-code this looks like:

function(data, <<outer_args>>){
  O <- manipulate(data, <<outer_args>>)
  function(theta, <<inner_args>>){
    map(O, to = theta, and = <<inner_args>>)
  }
}

See the examples below or the package vignettes to see an estFUN in action.

Importantly, the data used in an estFUN is *unit* level data, which may be single rows in a data.frame or block of rows for clustered data.

Additional arguments

Additional arguments may be passed to both the inner and outer function of the estFUN. Elements in an outer_args list are passed to the outer function; any elements of the inner_args list are passed to the inner function. For an example, see the finite sample correction vignette [ vignette("v05_finite_sample_corrections", package = "geex")].

Setting up root_control

To estimate roots of the estimating functions, geex uses the rootSolve multiroot function by default, which requires starting values. The root_control argument expects a root_control object, which the utility function setup_root_control aids in creating. For example, setup_root_control(start = 4) creates a root_control setting the starting value to 4. In general, the dimension of start must the same as theta in the inner estFUN.

Using weights

In some situations, use of weights can massively speed computations. Refer to vignette("v04_weights", package = "geex") for an example.

References

Stefanski, L. A., & Boos, D. D. (2002). The calculus of M-estimation. The American Statistician, 56(1), 29-38.

Examples

# Estimate the mean and variance of Y1 in the geexex dataset
ex_eeFUN <- function(data){
 function(theta){
   with(data,
    c(Y1 - theta[1],
     (Y1 - theta[1])^2 - theta[2] ))
}}

m_estimate(
 estFUN = ex_eeFUN,
 data  = geexex,
 root_control = setup_root_control(start = c(1,1)))

# compare to the mean() and variance() functions
mean(geexex$Y1)
n <- nrow(geexex)
var(geexex$Y1) * (n - 1)/n

# A simple linear model for regressing X1 and X2 on Y4
lm_eefun <- function(data){
 X <- cbind(1, data$X1, data$X2)
 Y <- data$Y4
 function(theta){
    t(X) %*% (Y - X %*% theta)
   }
 }

m_estimate(
 estFUN = lm_eefun,
 data  = geexex,
 root_control = setup_root_control(start = c(0, 0, 0)))

# Compare to lm() results
summary(lm(Y4 ~ X1 + X2, data = geexex))

geex documentation built on Aug. 8, 2022, 5:05 p.m.