--- title: "Coefficients Covariance Matrix Adjustment" package: mmrm bibliography: '`r system.file("REFERENCES.bib", package = "mmrm")`' output: rmarkdown::html_vignette: toc: true vignette: | %\VignetteIndexEntry{Coefficients Covariance Matrix Adjustment} %\VignetteEncoding{UTF-8} %\VignetteEngine{knitr::rmarkdown} editor_options: chunk_output_type: console markdown: wrap: 72 --- ```{r, include = FALSE} knitr::opts_chunk$set( collapse = TRUE, comment = "#>" ) ``` Here we describe the variance-covariance matrix adjustment of coefficients. # Introduction To estimate the covariance matrix of coefficients, there are many ways. In `mmrm` package, we implemented asymptotic, empirical, Jackknife and Kenward-Roger methods. For simplicity, the following derivation are all for unweighted mmrm. For weighted mmrm, we can follow the [details of weighted least square estimator](algorithm.html#weighted-least-squares-estimator). ## Asymptotic Covariance Asymptotic covariance are derived based on the estimate of $\beta$. Following the definition in [details in model fitting](algorithm.html#linear-model), we have \[ \hat\beta = (X^\top W X)^{-1} X^\top W Y \] \[ cov(\hat\beta) = (X^\top W X)^{-1} X^\top W cov(\epsilon) W X (X^\top W X)^{-1} = (X^\top W X)^{-1} \] Where $W$ is the block diagonal matrix of inverse of covariance matrix of $\epsilon$. ## Empirical Covariance Empirical covariance, also known as the robust sandwich estimator, or "CR0", is derived by replacing the covariance matrix of $\epsilon$ by observed covariance matrix. \[ cov(\hat\beta) = (X^\top W X)^{-1}(\sum_{i}{X_i^\top W_i \hat\epsilon_i\hat\epsilon_i^\top W_i X_i})(X^\top W X)^{-1} = (X^\top W X)^{-1}(\sum_{i}{X_i^\top L_{i} L_{i}^\top \hat\epsilon_i\hat\epsilon_i^\top L_{i} L_{i}^\top X_i})(X^\top W X)^{-1} \] Where $W_i$ is the block diagonal part for subject $i$ of $W$ matrix, $\hat\epsilon_i$ is the observed residuals for subject i, $L_i$ is the Cholesky factor of $\Sigma_i^{-1}$ ($W_i = L_i L_i^\top$). See the detailed explanation of these formulas in the [Weighted Least Square Empirical Covariance](empirical_wls.html) vignette. ## Jackknife Covariance Jackknife method in `mmrm` is the "leave-one-cluster-out" method. It is also known as "CR3". Following @mccaffrey2003bias, we have \[ cov(\hat\beta) = (X^\top W X)^{-1}(\sum_{i}{X_i^\top L_{i} (I_{i} - H_{ii})^{-1} L_{i}^\top \hat\epsilon_i\hat\epsilon_i^\top L_{i} (I_{i} - H_{ii})^{-1} L_{i}^\top X_i})(X^\top W X)^{-1} \] where \[H_{ii} = X_i(X^\top X)^{-1}X_i^\top\] Please note that in the paper there is an additional scale parameter $\frac{n-1}{n}$ where $n$ is the number of subjects, here we do not include this parameter. ## Bias-Reduced Covariance Bias-reduced method, also known as "CR2", provides unbiased under correct working model. Following @mccaffrey2003bias, we have \[ cov(\hat\beta) = (X^\top W X)^{-1}(\sum_{i}{X_i^\top L_{i} (I_{i} - H_{ii})^{-1/2} L_{i}^\top \hat\epsilon_i\hat\epsilon_i^\top L_{i} (I_{i} - H_{ii})^{-1} L_{i}^\top X_i})(X^\top W X)^{-1} \] where \[H_{ii} = X_i(X^\top X)^{-1}X_i^\top\] ## Kenward-Roger Covariance Kenward-Roger covariance is an adjusted covariance matrix for small sample size. Details can be found in [Kenward-Roger](kenward.html#mathematical-details-of-kenward-roger-method)