Penalized estimating equations.

Abstract

Penalty models--such as the ridge estimator, the Stein estimator, the bridge estimator, and the Lasso-have been proposed to deal with collinearity in regressions. The Lasso, for instance, has been applied to linear models, logistic regressions, Cox proportional hazard models, and neural networks. This article considers the bridge penalty model with penalty sigma(j)/beta(j)/gamma for estimating equations in general and applies this penalty model to the generalized estimating equations (GEE) in longitudinal studies. The lack of joint likelihood in the GEE is overcome by the penalized estimating equations, in which no joint likelihood is required. The asymptotic results for the penalty estimator are provided. It is demonstrated, with a simulation and an application, that the penalized GEE potentially improves the performance of the GEE estimator, and enjoys the same properties as linear penalty models.