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Fast Pure R Implementation of GEE: Application of the Matrix Package
Lee S McDaniel1, Nicholas C Henderson2, Paul J Rathouz3
1University of Wisconsin-Madison 1300 University Ave. Madison, WI 53706 USA mcdaniel@stat.wisc.edu.
Abstract:
Generalized estimating equation solvers in R only allow for a few pre-determined options for the link and variance functions. We provide a package, geeM, which is implemented entirely in R and allows for user specified link and variance functions. The sparse matrix representations provided in the Matrix package enable a fast implementation. To gain speed, we make use of analytic inverses of the working correlation when possible and a trick to find quick numeric inverses when an analytic inverse is not available. Through three examples, we demonstrate the speed of geeM, which is not much worse than C implementations like geepack and gee on small data sets and faster on large data sets.
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