Package: Mestim 0.2.1

François Grolleau

Mestim: Computes the Variance-Covariance Matrix of Multidimensional Parameters Using M-Estimation

Provides a flexible framework for estimating the variance-covariance matrix of estimated parameters. Estimation relies on unbiased estimating functions to compute the empirical sandwich variance. (i.e., M-estimation in the vein of Tsiatis et al. (2019) <doi:10.1201/9780429192692>.

Authors:François Grolleau

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NEWS

# Install 'Mestim' in R:
install.packages('Mestim', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

2.70 score 226 downloads 1 exports 0 dependencies

Last updated 2 years agofrom:5db8301fa9. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 07 2025
R-4.5-linuxOKMar 07 2025
R-4.4-linuxOKMar 07 2025

Exports:get_vcov

Dependencies:

An Introduction to Mestim

François Grolleau

Rendered fromintro-vignette.Rmdusingknitr::rmarkdownon Mar 07 2025.

Last update: 2022-12-21
Started: 2022-12-18

Citation

To cite package ‘Mestim’ in publications use:

Grolleau F (2022). Mestim: Computes the Variance-Covariance Matrix of Multidimensional Parameters Using M-Estimation. R package version 0.2.1, https://CRAN.R-project.org/package=Mestim.

ATTENTION: This citation information has been auto-generated from the package DESCRIPTION file and may need manual editing, see ‘help("citation")’.

Corresponding BibTeX entry: 

  @Manual{,
    title = {Mestim: Computes the Variance-Covariance Matrix of
      Multidimensional Parameters Using M-Estimation},
    author = {François Grolleau},
    year = {2022},
    note = {R package version 0.2.1},
    url = {https://CRAN.R-project.org/package=Mestim},
  }

Readme and manuals

Mestim

This package provides a flexible framework for estimating the variance-covariance matrix of estimated parameters. Estimation relies on providing unbiased estimating functions to compute the empirical sandwich variance. what is this? :monkey:

Installation

For latest release

devtools::install_github("fcgrolleau/Mestim")

For stable release

install.packages("Mestim")
Implementation
library(Mestim)

# Put estimated parameters in a list
thetas_hat <- list(theta_1=coef(mod)[1], theta_2=coef(mod)[2])

# Build a list of unbiased estimating functions
# NB: parameters' names must be consistent with the previous list
M_1 <- expression( ((1/(1+exp( -( theta_1 * x_1 + theta_2 * x_2 ) ))) - y ) * x_1 )
M_2 <- expression( ((1/(1+exp( -( theta_1 * x_1 + theta_2 * x_2 ) ))) - y ) * x_2 )
est_functions <- list(M_1, M_2)

## Pass arguments to get_vcov and obtain what you are looking for
res <- get_vcov(data=dat, thetas=thetas_hat, M=est_functions)

Find more information in the introduction vignette.

Authors

This package is written and maintained by François Grolleau (francois.grolleau@aphp.fr).

References
  • Boos DD. and Stefanski, LA. Essential Statistical Inference. 2013. [Springer]
  • Tsiatis, AA., Davidian, M., Holloway, ST. and Laber, EB. Dynamic Treatment Regimes: Statistical Methods for Precision Medicine. 2019. [CRC Press]