estimate_sandwich_matrices: Estimate component matrices of the empirical sandwich...

In bsaul/geex: An API for M-Estimation

Estimate component matrices of the empirical sandwich covariance estimator

Description

For a given set of estimating equations computes the 'meat' (B_m in Stefanski and Boos notation) and 'bread' (A_m in Stefanski and Boos notation) matrices necessary to compute the covariance matrix.

Usage

estimate_sandwich_matrices(.basis, .theta)

Arguments

.basis	basis an object of class m_estimation_basis
.theta	vector of parameter estimates (i.e. estimated roots)

Details

For a set of estimating equations (\sum_i \psi(O_i, \theta) = 0), this function computes:

A_i = \partial \psi(O_i, \theta)/\partial \theta

A = \sum_i A_i

B_i = \psi(O_i, \theta)\psi(O_i, \theta)^T

B = \sum_i B_i

where all of the above are evaluated at \hat{\theta}. The partial derivatives in A_i numerically approximated by the function defined in deriv_control.

Note that A = \sum_i A_i and not \sum_i A_i/m, and the same for B.

Value

a sandwich_components object

References

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

Examples

myee <- function(data){
  function(theta){
    c(data$Y1 - theta[1],
     (data$Y1 - theta[1])^2 - theta[2])
   }
 }

# Start with a basic basis
mybasis <- create_basis(
  estFUN = myee,
  data   = geexex)

# Now estimate sandwich matrices
estimate_sandwich_matrices(
 mybasis, c(mean(geexex$Y1), var(geexex$Y1)))

bsaul/geex documentation built on July 4, 2023, 6:40 p.m.