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GEE Annette

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(GEEs)

Purpose: to introduce GEEs

These are used to model correlated data

from

Longitudinal/ repeated measures studies

Clustered/ multilevel studies

Outline

Examples of correlated data

Successive generalizations

Normal linear model

Generalized linear model

GEE

Estimation

Example: stroke data

exploratory analysis

modelling

2

Correlated data

1. Repeated measures: same subjects, same measure,

successive times expect successive measurements to be correlated

Treatment groups

Measurement times

A

Subjects,

i = 1,,n

C

Randomize

Yi1

Yi2

Yi3

Yi4

3

Correlated data

2. Clustered/multilevel studies

Level 3

Level 2

Level 1

E.g., Level 3: populations

Level 2: age - sex groups

Level 1: blood pressure measurements in sample of people in each

age - sex group

We expect correlations within populations and within age-sex groups due

to genetic, environmental and measurement effects

4

Notation

Repeated measurements: yij, i = 1, N, subjects;

j = 1, ni, times for subject i

Clustered data: yij, i = 1, N, clusters; j = 1, ni,

measurements within cluster i

! yi1 "

#y $

i2

Vector of measurements for unit i yi = # $

# $

# $

#% yini $&

! y1 "

#y $

y = # 2$

# $

# $

#% yN $&

5

For unit i:

E(yi)=i=Xi;

yi~N(i, Vi)

: p1 parameter vector

Vi: nini variance-covariance matrix,

e.g., Vi=2I if measurements are independent

For all units: E(y)==X, y~N(,V)

& 1 #

& X1 #

&V1 0 0 #

$ !

$X !

2!

2!

!

$

$

=

,

X=

,

V = $$ 0

!

$ !

$ !

$% 0

VN !"

$ !

$ !

% N "

%X N "

This V is suitable if the units are independent

6

We want to estimate and V

Use

log-likelihood function (y )T V 1( y )

Score = U( ) =

= X T V 1( y )

= X i Vi1( yi X i ) = 0

Yij's (elements of yi ) are not necessarily Normal

(e.g., Poisson, binomial)

E(Yij ) = i j

g( ij ) = ij = x i; g is the link function

Score = U( ) =

T 1

D

i Vi ( yi i ) = 0

i

i

=

xik

k

k

and Vi is diagonal with elements var(Yij )

(If link is identity then Di =Xi )

8

(GEE)

Yij's are not necessarily Normal

Yij's are not necessarily independent

R i is correlation matrix for Yij's

1/ 2

where Ai is diagonal with elements var(Yij )

Score = U( ) =

T

i

D V

1/ 2

i

where Vi = ( A R i A

1/ 2

i

( yi i ) = 0

9

Di is the matrix of derivatives i/j

Vi is the working covariance matrix of Yi

Ai=diag{var(Yik)},

Ri is the correlation matrix for Yi

is an overdispersion parameter

10

Overdispersion parameter

Estimated using the formula:

1

y

ij ij

=

i j

Np

var( ij )

Where N is the total number of measurements and

p is the number of regression parameters

The square root of the overdispersion parameter

is called the scale parameter

11

Estimation (1)

For Normal linear model

Solve U( ) =

T

= ( X T X )1 X T y

X

(

y

)

=

0

to

get

i i i

with var( ) = (X T V 1X )1

T

1

solve U ( ) =

Di Vi (y i i ) = 0

2. Calculate residuals, rij=yij-ij

3. Estimate Vi from the residuals

4. Re-estimate b using the new estimate of Vi

Repeat steps 2-4 until convergence

12

Liang and Zeger (1984) showed if R is correctly

specified, is consistent and asymptotically Normal.

is fairly robust, so correct specification of

R ('working correlation matrix') is not critical.

Also V is estimated so need 'sandwich estimator'

for var( )

Vs ( ) = III-1C 1 where = DT V -1D and

C = DT V -1(y- )(y- )T V -1D

13

Start with Ri=identity (ie independence) and =1:

estimate

Use estimates to calculated fitted values:

i = g ( Xi )

1

And residuals:

Yi i

Then the GEEs are solved again to obtain

improved estimates of

14

Correlation

For unit i

" 1 12 1n #

$

%

1

%

Vi = 2 $ 21

$

.. %

$

%

.. 1 %'

$&n1

For clustered data lm= correl between measures l and m

For all models considered here Vi is assumed to be same for

all units

15

Types of correlation

1. Independent: Vi is diagonal

2. Exchangeable: All measurements on the same

unit are equally correlated

lm =

Plausible for clustered data

Other terms: spherical and compound symmetry

16

Types of correlation

3. Correlation depends on time or distance between

measurements l and m

e.g. first order auto-regressive model has terms ,

2, 3 and so on

Plausible for repeated measures where correlation is

known to decline over time

4. Unstructured correlation: no assumptions about the

correlations lm

Lots of parameters to estimate may not converge

17

Missing Data

For missing data, can estimate the working

correlation using the all available pairs

method, in which all non-missing pairs of

data are used in the estimators of the

working correlation parameters.

18

Standard Regression (GLM)

AIC = - 2*log likelihood + 2*(#parameters)

Values closer to zero indicate better fit

and greater parsimony.

19

GEE

QIC(V) function of V, so can use to

choose best correlation structure.

QICu measure that can be used to

determine the best subsets of

covariates for a particular model.

the best model is the one with the

smallest value!

20

to GEEs

1. Multivariate modelling treat all

measurements on same unit as dependent

variables (even though they are measurements

of the same variable) and model them

simultaneously

(Hand and Crowder, 1996)

e.g., SPSS uses this approach (with

exchangeable correlation) for repeated

measures ANOVA

21

to GEEs

2. Mixed models fixed and random effects

e.g., y = X + Zu + e

: fixed effects; u: random effects ~ N(0,G)

e: error terms ~ N(0,R)

var(y)=ZGTZT + R

so correlation between the elements of y is due to

random effects

Verbeke and Molenberghs (1997)

22

Cluster sampling randomly select areas (PSUs) then

households within areas

Yij = + ui + eij

Yij : income of household j in area i

: average income for population

2

2

E(Yij) = ; var(Yij) = u2 + e2 ;

2

cov(Yij,Ykm)= u , provided i=k, cov(Yij,Ykm)=0, otherwise.

u2

So Vi is exchangeable with elements: = 2

2 =ICC

u +e

23

Treatment groups

A = new OT intervention

B = special stroke unit, same hospital

C= usual care in different hospital

8 patients per group

Measurements of functional ability Barthel index

measured weekly for 8 weeks

Yijk : patients i, groups j, times k

Exploratory analyses plots

Nave analyses

Modelling

24

Individual patients and overall regression line

score

100

80

60

40

20

0

week

8

19

25

score

80

A:blue

B: black

70

60

C: red

50

40

30

2

4

week

26

questions

Primary question: do slopes differ

(i.e. do treatments have different

effects)?

Secondary question: do intercepts

differ (i.e. are groups same

initially)?

27

Week1

Week2

Week3

Week4

Week5

Week6

Week7

Week8

28

Numerical example

Correlation matrix

week

2

3

4

5

6

7

8

1

0.93

0.88

0.83

0.79

0.71

0.62

0.55

0.92

0.88

0.85

0.79

0.70

0.64

0.95

0.91

0.85

0.77

0.70

0.92

0.88

0.83

0.77

0.97

0.92 0.96

0.88 0.93 0.98

29

Numerical example

1. Pooled analysis ignoring correlation

within patients

Yijk = j + jk + eijk ; j for groups, k for time

Different intercepts and different slopes for groups.

Assume all Yijk are independent and same variance

(i.e. ignore the correlation between observations).

Use multiple regression to compare j ' s and j ' s

group time

30

Numerical example

2. Data reduction

Fit a straight line for each patient

Yijk = ij + ijk + eijk

assume independence and constant variance

use simple linear regression to estimate ij and ij

Perform ANOVA using estimates ij as data

and groups as levels of a factor in order to compare j ' s.

Repeat ANOVA using ij's as data and compare j's

31

Numerical example

2. Repeated measures analyses using

various variance-covariance structures

Fit Yijk = j + jk + eijk

with j and j as the parameters of interest

Assuming Normality for eijk but try

various forms for variance-covariance matrix

For the stroke data, from scatter plot matrix and

correlations, an auto-regressive structure (e.g. AR(1))

seems most appropriate

Use GEEs to fit models

32

Numerical example

4. Mixed/Random effects model

Use model

Yijk = (j + aij) + (j + bij)k + eijk

(i) j and j are fixed effects for groups

(ii) other effects are random

and all are independent

Fit model and use estimates of fixed effects to

compare js and js

33

Intercept A

Asymp SE

Robust SE

Pooled

29.821

5.772

Data reduction

29.821

7.572

GEE, independent

29.821

5.683

10.395

GEE, exchangeable

29.821

7.047

10.395

GEE, AR(1)

33.492

7.624

9.924

GEE, unstructured

30.703

7.406

10.297

Random effects

29.821

7.047

34

B-A

Asymp SE

Robust SE

Pooled

3.348

8.166

Data reduction

3.348

10.709

GEE, independent

3.348

8.037

11.884

GEE, exchangeable

3.348

9.966

11.884

GEE, AR(1)

-0.270

10.782

11.139

GEE, unstructured

2.058

10.474

11.564

Random effects

3.348

9.966

35

C-A

Asymp SE

Robust SE

Pooled

-0.022

8.166

Data reduction

-0.018

10.709

GEE, independent

-0.022

8.037

11.130

GEE, exchangeable

-0.022

9.966

11.130

GEE, AR(1)

-6.396

10.782

10.551

GEE, unstructured

-1.403

10.474

10.906

Random effects

-0.022

9.966

36

Slope A

Asymp SE

Robust SE

Pooled

6.324

1.143

Data reduction

6.324

1.080

GEE, independent

6.324

1.125

1.156

GEE, exchangeable

6.324

0.463

1.156

GEE, AR(1)

6.074

0.740

1.057

GEE, unstructured

7.126

0.879

1.272

Random effects

6.324

0. 463

37

B-A

Asymp SE

Robust SE

Pooled

-1.994

1.617

Data reduction

-1.994

1.528

GEE, independent

-1.994

1.592

1.509

GEE, exchangeable

-1.994

0.655

1.509

GEE, AR(1)

-2.142

1.047

1.360

GEE, unstructured

-3.556

1.243

1.563

Random effects

-1.994

0.655

38

C-A

Asymp SE

Robust SE

Pooled

-2.686

1.617

Data reduction

-2.686

1.528

GEE, independent

-2.686

1.592

1.502

GEE, exchangeable

-2.686

0.655

1.509

GEE, AR(1)

-2.236

1.047

1.504

GEE, unstructured

-4.012

1.243

1.598

Random effects

-2.686

0.655

39

Numerical example:

Summary of results

All models produced similar results leading to the same

conclusion no treatment differences

Pooled analysis and data reduction are useful for

exploratory analysis easy to follow, give good

approximations for estimates but variances may be

inaccurate

Random effects models give very similar results to GEEs

dont need to specify variance-covariance matrix

model specification may/may not be more natural

40

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