Iterative estimating equations: Linear convergence and asymptotic properties

Jiang, Jiming, Luan, Yihui, & Wang, You-Gan (2007) Iterative estimating equations: Linear convergence and asymptotic properties. The Annals of Statistics, 35(5), pp. 2233-2260.

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We propose an iterative estimating equations procedure for analysis of longitudinal data. We show that, under very mild conditions, the probability that the procedure converges at an exponential rate tends to one as the sample size increases to infinity. Furthermore, we show that the limiting estimator is consistent and asymptotically efficient, as expected. The method applies to semiparametric regression models with unspecified covariances among the observations. In the special case of linear models, the procedure reduces to iterative reweighted least squares. Finite sample performance of the procedure is studied by simulations, and compared with other methods. A numerical example from a medical study is considered to illustrate the application of the method.

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5 citations in Scopus
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6 citations in Web of Science®

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ID Code: 90514
Item Type: Journal Article
Refereed: Yes
Keywords: asymptotic efficiency, consistency, iterative algorithm, linear, convergence, longitudinal data, semiparametric regression, maximum-likelihood estimation, models
DOI: 10.1214/009053607000000208
ISSN: 0090-5364
Divisions: Current > QUT Faculties and Divisions > Science & Engineering Faculty
Deposited On: 18 Nov 2015 02:02
Last Modified: 18 Nov 2015 02:02

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