Explicit estimating equations for semiparametric generalized linear latent variable models
KAUST Grant NumberKUSC1-016-04
Permanent link to this recordhttp://hdl.handle.net/10754/598287
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AbstractWe 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.
CitationMa 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.
SponsorsWe 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.