使用geex在R中进行M估计的计算
The Calculus of M-Estimation in R with geex.
作者信息
Saul Bradley C, Hudgens Michael G
机构信息
NoviSci, LLC.
UNC Chapel Hill.
出版信息
J Stat Softw. 2020 Feb;92(2). doi: 10.18637/jss.v092.i02. Epub 2020 Feb 18.
Abstract
M-estimation, or estimating equation, methods are widely applicable for point estimation and asymptotic inference. In this paper, we present an R package that can find roots and compute the empirical sandwich variance estimator for any set of user-specified, unbiased estimating equations. Examples from the M-estimation primer by Stefanski and Boos (2002) demonstrate use of the software. The package also includes a framework for finite sample, heteroscedastic, and autocorrelation variance corrections, and a website with an extensive collection of tutorials.
摘要
M估计法，即估计方程法，广泛适用于点估计和渐近推断。在本文中，我们展示了一个R软件包，它可以找到根，并为任何一组用户指定的无偏估计方程计算经验三明治方差估计量。Stefanski和Boos（2002）所著的《M估计入门》中的例子展示了该软件的用法。该软件包还包括一个用于有限样本、异方差和自相关方差校正的框架，以及一个拥有大量教程的网站。
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