Estimating Equations and Non‐linear Functional Relationships

summary A nonlinear functional relationship is defined as an R ‐dimensional manifold in P ‐dimensional space. The formulation of the model may be explicitly in terms of R ‐dimensional vectors of incidental parameters or implicitly by a ( P‐R )‐dimensional vector function of constraints. The objective is to estimate and make inference about a K ‐vector of parameters θ which defines the manifold. Each observed P ‐vector has its expectation lying on the manifold, and the error vector has a variance matrix defined in terms of a further vector of parameters The theory of estimating equations in the presence of incidental parameters is extended and applied to the explicit formulation, to give equations suitable for estimating θ given knowledge of only the first two moments. The method has a geometrical interpretation. Estimating equations for are chosen to be those which would be optimal if the normality assumption were true. First order corrections to the biases of these estimates are included. An example where the manifold is a circle centred on the origin is used to illustrate the theory. Further examples incorporate more general features, including the estimation of two variance parameters and estimation in higher dimensions.