REMINDER
KEELE UNIVERSITY
CENTRE FOR MEDICAL STATISTICS
SEMINAR SERIES on BIOSTATISTICS 2002/2003
NO 2: Wednesday, December 4th 2002, at 2:30 pm
"Extended likelihood inference applied to a new class of models"
Professor John A Nelder FRS
Imperial College, London
Random-effect models require an extension of Fisher likelihood.
Extended likelihood (Pawitan) or, equivalently, h-likelihood (Lee &
Nelder), provide a basis for likelihood inference applicable to
random-effect models. The model class, called hierarchical generalized
linear models (HGLMs), is derived from generalized linear models
(GLMs). It supports (1) joint modelling of mean and dispersion; (2)
GLM errors for the response; (3) random effects in the linear predictor
for the mean, with distributions following any conjugate distribution
of a GLM distribution; (4) structured dispersion components depending
on covariates. Fitting of fixed and random effects, given dispersion
components, reduces to fitting an augmented GLM, while fitting
dispersion components, given fixed and random effects, uses an adjusted
profile h-likelihood and reduces to a second interlinked GLM, which
generalizes REML to all the GLM distributions. A single algorithm can
fit all members of the class and does not require either prior
distributions or the multiple quadrature needed for methods using
marginal likelihood. Model checking also generalizes from GLMs and
allows the visual checking of all aspects of the model. The model class
can be extended to cover correlated data expressed by random terms in
the model, thus allowing fitting of spatial and temporal models with GLM
errors. Correlations can be expressed by transformations of white
noise, by structured covariance matrices, or by structured precision
matrices. Finally the class can be extended to double HGLMs, which
allow random effects in the dispersion model as well as in the mean.
This leads, among other things, to a potentially large expansion of
classes of models used in finance, the properties of which have still to
be investigated.
All welcome!!
Venue:
Room 2.22, Third Floor
MacKay Building
Keele University
http://www.keele.ac.uk
http://www.keele.ac.uk/university/campus/maps/
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Janet Drewery
Centre for Medical Statistics
MacKay Building
Keele University
Keele, Staffs ST5 5BG
Tel: (01782) 583269
Fax: (01782) 583269/584268
E-mail: [log in to unmask]
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