Multistep estimators of the between‐study covariance matrix under the multivariate random‐effects model for meta‐analysis

• Published in: Statistics in medicine 2024-02, Vol.43 (4), p.756-773
• Main Authors: Jackson, Dan, Viechtbauer, Wolfgang, Aert, Robbie C. M.
• Format: Article
• Language: English
• Subjects: Analysis of covariance; Computer Simulation; heterogeneity; Humans; iterative methods; meta‐regression; method of moments; multivariate statistical models; Regression analysis
• ISSN: 0277-6715; 1097-0258
• DOI: 10.1002/sim.9985

A wide variety of methods are available to estimate the between‐study variance under the univariate random‐effects model for meta‐analysis. Some, but not all, of these estimators have been extended so that they can be used in the multivariate setting. We begin by extending the univariate generalised method of moments, which immediately provides a wider class of multivariate methods than was previously available. However, our main proposal is to use this new type of estimator to derive multivariate multistep estimators of the between‐study covariance matrix. We then use the connection between the univariate multistep and Paule–Mandel estimators to motivate taking the limit, where the number of steps tends toward infinity. We illustrate our methodology using two contrasting examples and investigate its properties in a simulation study. We conclude that the proposed methodology is a fully viable alternative to existing estimation methods, is well suited to sensitivity analyses that explore the use of alternative estimators, and should be used instead of the existing DerSimonian and Laird‐type moments based estimator in application areas where data are expected to be heterogeneous. However, multistep estimators do not seem to outperform the existing estimators when the data are more homogeneous. Advantages of the new multivariate multistep estimator include its semi‐parametric nature and that it is computationally feasible in high dimensions. Our proposed estimation methods are also applicable for multivariate random‐effects meta‐regression, where study‐level covariates are included in the model.