Bias reduction in exponential family nonlinear models

• 成果类型: Article
• 署名作者: Kosmidis, Ioannis; Firth, David
• 署名单位: University of Warwick
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asp055
• 发表日期: 2009
• 页码: 793804
• 关键词: multinomial logistic-regression; cross-classifications; association models; SEPARATION

摘要

In Firth (1993, Biometrika) it was shown how the leading term in the asymptotic bias of the maximum likelihood estimator is removed by adjusting the score vector, and that in canonical-link generalized linear models the method is equivalent to maximizing a penalized likelihood that is easily implemented via iterative adjustment of the data. Here a more general family of bias-reducing adjustments is developed for a broad class of univariate and multivariate generalized nonlinear models. The resulting formulae for the adjusted score vector are computationally convenient, and in univariate models they directly suggest implementation through an iterative scheme of data adjustment. For generalized linear models a necessary and sufficient condition is given for the existence of a penalized likelihood interpretation of the method. An illustrative application to the Goodman row-column association model shows how the computational simplicity and statistical benefits of bias reduction extend beyond generalized linear models.