[R] scale parameter and parameter vac-cov matrix in GEE
Thomas Lumley
tlumley at u.washington.edu
Tue Jul 16 17:14:03 CEST 2002
On Tue, 16 Jul 2002, Renaud Lancelot wrote:
> Dear all,
>
> It looks like the parameters var-cov matrix returned by gee() is not
> adjusted for the scale parameter:
<snip example>
>
> > fm1$scale
> [1] 10.01990
>
> > fm2$scale
> [1] 1
> >
> > round(fm1$robust.variance, 4)[1:2, 1:2]
> (Intercept) strateLD
> (Intercept) 0.0295 -0.0165
> strateLD -0.0165 0.0827
>
> > round(fm2$robust.variance, 4)[1:2, 1:2]
> (Intercept) strateLD
> (Intercept) 0.0295 -0.0165
> strateLD -0.0165 0.0827
> >
>
> What should I do to make the adjustement ?
You shouldn't.
Fixing the scale affects only the model-based variance estimate ("Naive
S.E." in summary.gee). This is done correctly.
Setting up the robust variance estimate so that it relied on the fixed
scale would be a) difficult and b) pointless. The whole reason for the
robust variance estimate is that it depends only on the mean model and on
the independence of different groups.
-thomas
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