Strong consistency and optimality for generalized estimating equations with stochastic covariates

TL;DR

This paper investigates the conditions for the existence, strong consistency, and asymptotic optimality of generalized estimating equation (GEE) estimators when the estimating functions are martingales with stochastic coefficients.

Contribution

It provides new theoretical results on the existence, consistency, and optimality of GEE estimators under stochastic covariates and martingale-based estimating functions.

Findings

Established conditions for the existence of GEE estimators.

Proved strong consistency of GEE estimators with stochastic covariates.

Characterized asymptotically optimal estimating functions.

Abstract

In this article we study the existence and strong consistency of GEE estimators, when the generalized estimating functions are martingales with random coefficients. Furthermore, we characterize estimating functions which are asymptotically optimal.