Journal
STATISTICS & PROBABILITY LETTERS
Volume 81, Issue 3, Pages 438-445Publisher
ELSEVIER
DOI: 10.1016/j.spl.2010.12.010
Keywords
Clinical trials; Estimation efficiency; Generalized estimating equations; Longitudinal data; Shrinkage
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Funding
- NSF
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In some commonly used longitudinal clinical trials designs, the quadratic inference functions (QIF) method fails to work due to non-invertible estimation of the optimal weighting matrix. We propose a modified QIF method, in which the optimal weighting matrix is estimated by a linear shrinkage estimator, replacing the sample covariance matrix. We prove that the linear shrinkage estimator is consistent and asymptotically optimal under the expected quadratic loss, and will have more stable numerical performance than the sample covariance matrix. Simulations show that numerical improvements are acquired in light of a higher percentage of convergence, and smaller standard errors and mean square errors of parameter estimates. (C) 2010 Elsevier B.V. All rights reserved.
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