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Generalized Estimating Equations
(GEEs)
Purpose: to introduce GEEs
These are used to model correlated data
from
• Longitudinal/ repeated measures studies
• Clustered/ multilevel studies
2
Outline
• Examples of correlated data
• Successive generalizations
– Normal linear model
– Generalized linear model
– GEE
• Estimation
• Example: stroke data
– exploratory analysis
– modelling
3
Correlated data
1. Repeated measures: same subjects, same measure,
successive times – expect successive measurements to be correlated
Subjects,
i = 1,…,n
A
C
B
Randomize
i1
Y
i2
Y
i3
Y
i4
Y
Treatment groups Measurement times
4
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 agesex groups due
to genetic, environmental and measurement effects
5
Notation

(
(
(
=
(
(
(
¸ ¸ i
i1
i2
i
in
y
y
Vector of measurements for unit i
y
y
• Repeated measurements: y
ij
,
i = 1,… N, subjects;
j = 1, … n
i
, times for subject i
• Clustered data: y
ij
,
i = 1,… N, clusters; j = 1, … n
i
,
measurements within cluster i
• Use “unit” for subject or cluster
(
(
(
=
(
(
(
¸ ¸
1
2
N
Vector of measurements for all units
y
y
y
y
6
Normal Linear Model
For all units: E(y)=µ=X, y~N(µ,V)
(
(
(
¸
(
¸
=
(
(
(
(
¸
(
¸
=
(
(
(
(
¸
(
¸
=
N
N N
V
V
V
X
X
X
X
μ
μ
μ
μ
0
0
0 0
, ,
1
2
1
2
1
This V is suitable if the units are independent
For unit i: E(y
i
)=µ
i
=X
i
; y
i
~N(µ
i,
V
i
)
X
i
: n
i
×p design matrix
: p×1 parameter vector
V
i
: n
i
×n
i
variancecovariance matrix,
e.g., V
i
=o
2
I if measurements are independent
7
Normal linear model: estimation
÷
÷
÷
· ÷ ÷
c
= ÷
c
= ÷ =
¿
T 1
T 1
T
1
i i i i
loglikelihood function ( ) ( )
Score = U( ) = ( )
( )
y μ V y μ
β X V y μ
β
X V y Xβ 0
Solve this set of score equations to estimate β
We want to estimate and V
Use
β
8
Generalized linear model (GLM)
÷
=
÷ =
¿
ij i
ij i
j
ij ij i
T 1
i i i i
i
Y's (elements of ) are not necessarily Normal
(e.g., Poisson, binomial)
E(Y ) μ
g(μ ) = η = ; g is the function
Score = U( ) = ( )
where is matrix of derivatives with e
y
xβ link
β D V y μ 0
D
c c
c c
i i
ik
k k
i ij
i i
lements
μ μ
= x
β η
and is diagonal with elements var(Y )
(If link is identity then = )
V
D X
9
Generalized estimating equations
(GEE)
ij
ij
i ij
1/ 2
1/ 2
i i i
i
Y's are not necessarily Normal
Y's are not necessarily independent
is correlation matrix for Y's
Variancecovariance matrix can be written as
where is diagonal with elements var
R
A R A
A
÷
÷ =
=  
¿
ij
1
T
i i i i
1/ 2
1/ 2
i i i i
(Y )
Score = U( ) = ( )
where ( ) ( allows for overdispersion)
β D V y μ 0
V A R A
10
Generalized estimating equations
D
i
is the matrix of derivatives oµ
i
/o
j
V
i
is the „working‟ covariance matrix of Y
i
A
i
=diag{var(Y
ik
)},
R
i
is the correlation matrix for Y
i
 is an overdispersion parameter
11
Overdispersion parameter
Estimated using the formula:
¿¿
÷
÷
=
i j
ij
ij ij y
p N ) var(
1
ˆ
µ
µ

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
12
Estimation (1)
÷
÷ ÷
÷ = =
¿
T T 1 T
i i i
T 1 1
ˆ
Solve U( ) = ( ) to get ( )
ˆ
with var( ) = ( )
β X y Xβ 0
For Normal linear mod
β X X X y
β
l
V X
e
X
More generally, unless V
i
is known, need iteration to
solve
1. Guess V
i
and estimate  by b and hence µ
2. Calculate residuals, r
ij
=y
ij
µ
ij
3. Estimate V
i
from the residuals
4. Reestimate b using the new estimate of V
i
Repeat steps 24 until convergence
0 ) ( ) (
1
= ÷ =
÷
¿ i i i
T
i
U μ y V D β
13
Estimation (2) – For GEEs
Liang and Zeger (1984) showed if is correctly
ˆ
specified, is consistent and asymptotically Normal.
ˆ
is fairly robust, so correct specification of
('working correlation matrix') is not critical
R
β
β
R
÷ 1 1 T 1
s
T 1 T 1
.
Also is estimated so need ' '
ˆ
for var( )
ˆ ˆ
( ) = where =
sandwich est
and
ˆ ˆ
ˆ ˆ
= (  )(  )
imator V
β
V β C D V D
C D V y μ y μ V D
I I I
14
Iterative process for GEE’s
• Start with R
i
=identity (ie independence) and =1:
estimate 
• Use estimates to calculated fitted values:
• And residuals:
• These are used to estimate A
i
, R
i
and 
• Then the GEE‟s are solved again to obtain
improved estimates of 
) ( g μˆ
1
 i i X
÷
=
i i μˆ Y ÷
15
Correlation
o
(
(
(
(
(
(
¸ ¸
12 1n
21 2
i
..
n1 ..
1 ρ ρ
ρ 1
=
ρ
ρ ρ 1
V
For unit i
For repeated measures = correl between times l and m
For clustered data = correl between measures l and m
For all models considered here V
i
is assumed to be same for
all units
lm
ρ
lm
ρ
16
Types of correlation
1. Independent: V
i
is diagonal
2. Exchangeable: All measurements on the same
unit are equally correlated
Plausible for clustered data
Other terms: spherical and compound symmetry
=
lm
ρ ρ
17
Types of correlation
3. Correlation depends on time or distance between
measurements l and m
e.g. first order autoregressive model has terms µ,
µ
2
, µ
3
and so on
Plausible for repeated measures where correlation is
known to decline over time
4. Unstructured correlation: no assumptions about the
correlations
Lots of parameters to estimate – may not converge
=
 lm
lm lm
ρ is a function of l  m, e.g. ρ e
lm
ρ
18
Missing Data
For missing data, can estimate the working
correlation using the all available pairs
method, in which all nonmissing pairs of
data are used in the estimators of the
working correlation parameters.
19
Choosing the Best Model
Standard Regression (GLM)
AIC =  2*log likelihood + 2*(#parameters)
÷ Values closer to zero indicate better fit
and greater parsimony.
20
Choosing the Best Model
GEE
QIC(V) – function of V, so can use to
choose best correlation structure.
QIC
u
– 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!
21
Other approaches – alternatives
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
22
Other approaches – alternatives
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)=ZG
T
Z
T
+ R
so correlation between the elements of y is due to
random effects
Verbeke and Molenberghs (1997)
23
Example of correlation from random effects
Cluster sampling – randomly select areas (PSUs) then
households within areas
Y
ij
= µ + u
i
+ e
ij
Y
ij
: income of household j in area i
µ : average income for population
u
i
: is random effect of area i ~ N(0, ); e
ij
: error ~ N(0, )
E(Y
ij
) = µ; var(Y
ij
) = ;
cov(Y
ij
,Y
km
)= , provided i=k, cov(Y
ij
,Y
km
)=0, otherwise.
So V
i
is exchangeable with elements: =ICC
(ICC: intraclass correlation coefficient)
2
u
o
2
e
o
2 2
e u
o o +
2
u
o
2 2
2
e u
u
o o
o
µ
+
=
24
Numerical example: Recovery from stroke
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
Y
ijk
: patients i, groups j, times k
• Exploratory analyses – plots
• Naïve analyses
• Modelling
25
Numerical example: time plots
Individual patients and overall regression line
19
8
6 4 2
100
80
60
40
20
0
week
score
26
Numerical example: time plots for groups
8
6
4 2
80
70
60
50
40
30
week
score
A:blue
B: black
C: red
27
Numerical example: research
questions
• Primary question: do slopes differ
(i.e. do treatments have different
effects)?
• Secondary question: do intercepts
differ (i.e. are groups same
initially)?
28
Numerical example: Scatter plot matrix
Week1
Week2
Week3
Week4
Week5
Week6
Week7
Week8
29
Numerical example
Correlation matrix
week 1 2 3 4 5 6 7
2 0.93
3 0.88 0.92
4 0.83 0.88 0.95
5 0.79 0.85 0.91 0.92
6 0.71 0.79 0.85 0.88 0.97
7 0.62 0.70 0.77 0.83 0.92 0.96
8 0.55 0.64 0.70 0.77 0.88 0.93 0.98
30
Numerical example
1. Pooled analysis ignoring correlation
within patients
; = + +
ijk j j ijk
ijk
Y α β k e j for groups, k for time
Different intercepts and different slopes for groups.
Assume all Y are independent and same variance
(i.e. ignore the correlation between observatio
' '
j j
ns).
Use multiple regression to compare α s and β s
×
To model different slopes use interaction terms
group time
31
Numerical example
2. Data reduction
ˆ
= + +
ijk ij ij ijk
ij ij
ij
Fit a straight line for each patient
Y α β k e
assume independence and constant variance
use simple linear regression to estimate α and β
Perform ANOVA using estimates α
'
ˆ
j
ij j
as data
and groups as levels of a factor in order to compare α s.
Repeat ANOVA using β 's as data and compare β 's
32
Numerical example
2. Repeated measures analyses using
various variancecovariance structures
For the stroke data, from scatter plot matrix and
correlations, an autoregressive structure (e.g. AR(1))
seems most appropriate
Use GEEs to fit models
= + +
ijk j j ijk
j j
ijk
Fit Y α βk e
with α and β as the parameters of interest
Assuming Normality for e but try
various forms for variancecovariance matrix
33
Numerical example
4. Mixed/Random effects model
Use model
Y
ijk
= (o
j
+ a
ij
) + (
j
+ b
ij
)k + e
ijk
(i) o
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 o
j
‟s and 
j
‟s
) , 0 ( ~ , ) , 0 ( ~ , ) , 0 ( ~
2 2 2
e ijk b ij a ij
N e N b N a o o o
34
Numerical example: Results for intercepts
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
Results from Stata 8
35
Numerical example: Results for intercepts
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
Results from Stata 8
36
Numerical example: Results for intercepts
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
Results from Stata 8
37
Numerical example: Results for slopes
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
Results from Stata 8
38
Numerical example: Results for slopes
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
Results from Stata 8
39
Numerical example: Results for slopes
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
Results from Stata 8
40
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
• don‟t need to specify variancecovariance matrix
• model specification may/may not be more natural
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