Asymptotic properties and information criteria for misspecified generalized linear mixed models
文献类型：期刊论文
| 作者 | Yu, Dalei1; Zhang, Xinyu2 ; Yau, Kelvin K. W.3
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| 刊名 | JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
 |
| 出版日期 | 2018-09-01 |
| 卷号 | 80期号:4页码:817-836 |
| 关键词 | Asymptotic loss efficiency Conditional inference Misspecified generalized linear mixed model Model selection Penalized likelihood |
| ISSN号 | 1369-7412 |
| DOI | 10.1111/rssb.12270 |
| 英文摘要 | The problem of misspecification poses challenges in model selection. The paper studies the asymptotic properties of estimators for generalized linear mixed models with misspecification under the framework of conditional Kullback-Leibler divergence. A conditional generalized information criterion is introduced, and a model selection procedure is proposed by minimizing the criterion. We prove that the model selection procedure proposed is asymptotically loss efficient when all the candidate models are misspecified. The model selection consistency of the model selection procedure is also established when the true data-generating procedure lies within the set of candidate models. Simulation experiments confirm the effectiveness of the method proposed. The use of the criterion for model selection is illustrated through an analysis of the European Currency Opinion Survey data. |
| 资助项目 | National Natural Science Foundation of China[11661079] ; National Natural Science Foundation of China[11301463] ; National Natural Science Foundation of China[11361071] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[71631008] ; Research Grants Council of Hong Kong[T32-102/14N] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000442217900010 |
| 出版者 | WILEY |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/31128]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhang, Xinyu |
| 作者单位 | 1.Yunnan Univ Finance & Econ, Kunming, Yunnan, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 3.City Univ Hong Kong, Hong Kong, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Yu, Dalei,Zhang, Xinyu,Yau, Kelvin K. W.. Asymptotic properties and information criteria for misspecified generalized linear mixed models[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY,2018,80(4):817-836. |
| APA | Yu, Dalei,Zhang, Xinyu,&Yau, Kelvin K. W..(2018).Asymptotic properties and information criteria for misspecified generalized linear mixed models.JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY,80(4),817-836. |
| MLA | Yu, Dalei,et al."Asymptotic properties and information criteria for misspecified generalized linear mixed models".JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY 80.4(2018):817-836. |
入库方式： OAI收割
来源：数学与系统科学研究院
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