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    Explicit estimating equations for semiparametric generalized linear latent variable models

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    Type
    Article
    Authors
    Ma, Yanyuan
    Genton, Marc G. cc
    KAUST Grant Number
    KUSC1-016-04
    Date
    2010-07-05
    Permanent link to this record
    http://hdl.handle.net/10754/598287
    
    Metadata
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    Abstract
    We study generalized linear latent variable models without requiring a distributional assumption of the latent variables. Using a geometric approach, we derive consistent semiparametric estimators. We demonstrate that these models have a property which is similar to that of a sufficient complete statistic, which enables us to simplify the estimating procedure and explicitly to formulate the semiparametric estimating equations. We further show that the explicit estimators have the usual root n consistency and asymptotic normality. We explain the computational implementation of our method and illustrate the numerical performance of the estimators in finite sample situations via extensive simulation studies. The advantage of our estimators over the existing likelihood approach is also shown via numerical comparison. We employ the method to analyse a real data example from economics. © 2010 Royal Statistical Society.
    Citation
    Ma Y, Genton MG (2010) Explicit estimating equations for semiparametric generalized linear latent variable models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 72: 475–495. Available: http://dx.doi.org/10.1111/j.1467-9868.2010.00741.x.
    Sponsors
    We thank Maria-Pia Victoria-Feser for providing the Swiss consumption data. Ma's research was partially supported by National Science Foundation grant DMS-0906341. Genton's research was partially supported by National Science Foundation grants DMS-0504896 and CMG ATM-0620624, and award KUSC1-016-04 made by King Abdullah University of Science and Technology.
    Publisher
    Wiley
    Journal
    Journal of the Royal Statistical Society: Series B (Statistical Methodology)
    DOI
    10.1111/j.1467-9868.2010.00741.x
    ae974a485f413a2113503eed53cd6c53
    10.1111/j.1467-9868.2010.00741.x
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