expectreg swMATH ID: 43559 Software Authors: Barry, Amadou; Oualkacha, Karim; Charpentier, Arthur Description: A new GEE method to account for heteroscedasticity using asymmetric least-square regressions. Generalized estimating equations GEE are widely used to analyze longitudinal data; however, they are not appropriate for heteroscedastic data, because they only estimate regressor effects on the mean response – and therefore do not account for data heterogeneity. Here, we combine the GEE with the asymmetric least squares (expectile) regression to derive a new class of estimators, which we call generalized expectile estimating equations (GEEE). The GEEE model estimates regressor effects on the expectiles of the response distribution, which provides a detailed view of regressor effects on the entire response distribution. In addition to capturing data heteroscedasticity, the GEEE extends the various working correlation structures to account for within-subject dependence. We derive the asymptotic properties of the GEEE estimators and propose a robust estimator of its covariance matrix for inference (see our R package, github.com/AmBarry/expectgee). Our simulations show that the GEEE estimator is non-biased and efficient, and our real data analysis shows it captures heteroscedasticity. Homepage: https://arxiv.org/abs/1810.09214 Source Code: https://github.com/amadoudiogobarry/expectgee Dependencies: R Keywords: R package expectgee; Generalized estimating equations; Expectile regression; quantile regression; working correlation; cluster data; longitudinal data Related Software: expectgee; R; quantreg; erfe; rqpd; expectreg; erboost; copula; SAS/STAT; copula; hidetify; geepack; SAS Cited in: 2 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year A new GEE method to account for heteroscedasticity using asymmetric least-square regressions. Zbl 07611116Barry, Amadou; Oualkacha, Karim; Charpentier, Arthur 2022 Cited by 3 Authors 2 Barry, Amadou Diogo 2 Charpentier, Arthur 2 Oualkacha, Karim Cited in 2 Serials 1 Journal of Applied Statistics 1 Statistical Methods and Applications Cited in 1 Field 2 Statistics (62-XX) Citations by Year