Efficiency of weighted averages

When combining estimates of a common parameter (of dimension d⩾1) from independent data sets-as in stratified analyses and meta analyses-a weighted average, with weights 'proportional' to inverse variance matrices, is shown to have a minimal variance matrix (a standard fact when d=1)-minimal in the sense that all convex combinations of the coordinates of the combined estimate have minimal variances. Minimum variance for the estimation of a single coordinate of the parameter can therefore be achieved by joint estimation of all coordinates using matrix weights. Moreover, if each estimate is asymptotically efficient within its own data set, then this optimally weighted average, with consistently estimated weights, is shown to be asymptotically efficient in the combined data set and avoids the need to merge the data sets and estimate the parameter in question afresh. This is so whatever additional non-common nuisance parameters may be in the models for the various data sets. A special case of this appeared in Fisher [1925. Theory of statistical estimation. Proc. Cambridge Philos. Soc. 22, 700-725.]: Optimal weights are 'proportional' to information matrices, and he argued that sample information should be used as weights rather than expected information, to maintain second-order efficiency of maximum likelihood. A number of special cases have appeared in the literature; we review several of them and give additional special cases, including stratified regression analysis-proportional-hazards, logistic or linear-, combination of independent ROC curves, and meta analysis. A test for homogeneity of the parameter across the data sets is also given.