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A note on NPML estimation for exponential family regression models with unspecified dispersion parameter.

Einbeck, J. and Hinde, J. (2006) 'A note on NPML estimation for exponential family regression models with unspecified dispersion parameter.', Austrian journal of statistics., 35 (2&3). pp. 233-243.

Abstract

Nonparametric maximum likelihood (NPML) estimation for exponential families with unspecified dispersion parameter \phi suffers from computational instability, which can lead to highly fluctuating EM trajectories and suboptimal solutions, in particular when \phi is allowed to vary over mixture components. In this paper, a damped version of the EM algorithm is proposed to cope with these problems.

Item Type:Article
Keywords:EM algorithm, Random effect models, Nonparametric maximum likelihood, Overdispersion, Gamma distribution, Generalized linear model.
Full text:PDF - Published Version (270Kb)
Status:Peer-reviewed
Publisher Web site:http://www.stat.tugraz.at/AJS/ausg062+3/Welcome.html
Record Created:29 Sep 2008
Last Modified:30 Aug 2011 15:26

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