[R] scale parameter and parameter vac-cov matrix in GEE

[lancelot@sentoo.sn]

I wanted to scale the var-cov matrix to compute confidence intervals for 
predicted values with a Monte Carlo procedure (simulation of predicted 
values assuming a multivariate-normal distribution for the GEE-model 
parameters). I incorrectly thought that I had to adjust the robust 
var-cov matrix with the scale parameter. Thanks for pointing out my 
mistake.

Best regards,

Renaud

----- Message Original -----
De: Thomas Lumley <tlumley at u.washington.edu>
Date: Mardi, Julliet 16, 2002 5:14 pm
Sujet: Re: [R] scale parameter and parameter vac-cov matrix in GEE

> 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 
> ("NaiveS.E." in summary.gee). This is done correctly.
> 
> Setting up the robust variance estimate so that it relied on the 
> fixedscale 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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