Semiparametric regression analysis of panel count data with informative observation times

This paper discusses regression analysis of panel count data that arise naturally when recurrent events are considered. For the analysis of panel count data, most of the existing methods have assumed that observation times are completely independent of recurrent events or given covariates, which may not be true in practice. We propose a joint modeling approach that uses an unobserved random variable and a completely unspecified link function to characterize the correlations between the response variable and the observation times. For inference about regression parameters, estimating equation approaches are developed without involving any estimation for latent variables, and the asymptotic properties of the resulting estimators are established. In addition, a technique is provided for assessing the adequacy of the model. The performance of the proposed estimation procedures are evaluated by means of Monte Carlo simulations, and a data set from a bladder tumor study is analyzed as an illustrative example.     

A fast approximate method for parameter sensitivity estimation in Monte Carlo structural reliability

In estimating the effect of a change in a random variable parameter on the (time-invariant) probability of structural failure estimated through Monte Carlo methods the usual approach is to carry out a duplicate simulation run for each parameter being varied. The associated computational cost may become prohibitive when many random variables are involved. Herein a procedure is proposed in which the numerical results from a Monte Carlo reliability estimation procedure are converted to a form that will allow the basic ideas of the first order reliability method to be employed. Using these allows sensitivity estimates of low computational cost to be made. Illustrative examples with sensitivities computed both by conventional Monte Carlo and the proposed procedure show good agreement over a range of probability distributions for the input random variables and for various complexities of the limit state function.     

Markov models for digraph panel data: Monte Carlo-based derivative estimation

A parametric, continuous-time Markov model for digraph panel data is considered. The parameter is estimated by the method of moments. A convenient method for estimating the variance-covariance matrix of the moment estimator relies on the delta method, requiring the Jacobian matrix—that is, the matrix of partial derivatives—of the estimating function. The Jacobian matrix was estimated hitherto by Monte Carlo methods based on finite differences. Three new Monte Carlo estimators of the Jacobian matrix are proposed, which are related to the likelihood ratio/score function method of derivative estimation and have theoretical and practical advantages compared to the finite differences method. Some light is shed on the practical performance of the methods by applying them in a situation where the true Jacobian matrix is known and in a situation where the true Jacobian matrix is unknown.     

Efficient direct sampling MCEM algorithm for latent variable models with binary responses

While latent variable models have been successfully applied in many fields and underpin various modeling techniques, their ability to incorporate categorical responses is hindered due to the lack of accurate and efficient estimation methods. Approximation procedures, such as penalized quasi-likelihood, are computationally efficient, but the resulting estimators can be seriously biased for binary responses. Gauss-Hermite quadrature and Markov Chain Monte Carlo (MCMC) integration based methods can yield more accurate estimation, but they are computationally much more intensive. Estimation methods that can achieve both computational efficiency and estimation accuracy are still under development. This paper proposes an efficient direct sampling based Monte Carlo EM algorithm (DSMCEM) for latent variable models with binary responses. Mixed effects and item factor analysis models with binary responses are used to illustrate this algorithm. Results from two simulation studies and a real data example suggest that, as compared with MCMC based EM, DSMCEM can significantly improve computational efficiency as well as produce equally accurate parameter estimates. Other aspects and extensions of the algorithm are discussed.     

Quantile Stratification Based on a Misspecified Propensity Score in Longitudinal Treatment Effectiveness Analyses of Ordinal Doses

The propensity adjustment provides a strategy to reduce the bias in treatment effectiveness analyses that compare non-equivalent groups such as seen in observational studies [Rosenbaum P.R., Rubin D.B., 1983. The central role of the propensity score in observational studies for causal effects. Biometrika 70, 41-55]. The objective of this simulation study is to examine the effect of omitting confounding variables from the propensity score on the quintile-stratified propensity adjustment in a longitudinal study. The primary focus was the impact of a misspecified propensity score on bias. Three features of the omitted confounding variables were examined: type of predictor variable (binary vs. continuous), constancy over time (time-varying vs. time-invariant), and magnitude of the association with treatment and outcome (null, small, and large odds ratios). The simulation results indicate that omission of continuous, time-varying confounders that are strongly associated with treatment and outcome (i.e., an odds ratio of 1.75) adversely impacts bias, coverage, and type I error. Omitted time-varying continuous variables had somewhat more effect on bias than omitted binary variables. Time-invariant confounding variables that are not included in the propensity score have a much less effect on results. This evaluation only examined continuous treatment effectiveness outcomes and the propensity scores used for stratification included just four variables. Relative to the use of the propensity adjustment in applied settings that typically comprise numerous potential confounding variables, the impact of one omitted continuous, time-varying confound in this simulation study could be overstated.     

Empirical likelihood calibration estimation for the median treatment difference in observational studies

The estimation of average (or mean) treatment effects is one of the most popular methods in the statistical literature. If one can have observations directly from treatment and control groups, then the simple t-statistic can be used if the underlying distributions are close to normal distributions. On the other hand, if the underlying distributions are skewed, then the median difference or the Wilcoxon statistic is preferable. In observational studies, however, each individual’s choice of treatment is not completely at random. It may depend on the baseline covariates. In order to find an unbiased estimation, one has to adjust the choice probability function or the propensity score function. In this paper, we study the median treatment effect. The empirical likelihood method is used to calibrate baseline covariate information effectively. An economic dataset is used for illustration.     

Modelling nonlinear count time series with local mixtures of Poisson autoregressions

A novel class of nonlinear models is studied based on local mixtures of autoregressive Poisson time series. The proposed model has the following construction: at any given time period, there exist a certain number of Poisson regression models, denoted as experts, where the vector of covariates may include lags of the dependent variable. Additionally, the existence of a latent multinomial variable is assumed, whose distribution depends on the same covariates as the experts. The latent variable determines which Poisson regression is observed. This structure is a special case of the mixtures-of-experts class of models, which is considerably flexible in modelling the conditional mean function. A formal treatment of conditions to guarantee the asymptotic normality of the maximum likelihood estimator is presented, under stationarity and nonstationarity. The performance of common model selection criteria in selecting the number of experts is explored via Monte Carlo simulations. Finally, an application to a real data set is presented, in order to illustrate the ability of the proposed structure to flexibly model the conditional distribution function.     

Auxiliary mixture sampling with applications to logistic models

A new method of data augmentation for binary and multinomial logit models is described. First, the latent utilities are introduced as auxiliary latent variables, leading to a latent model which is linear in the unknown parameters, but involves errors from the type I extreme value distribution. Second, for each error term the density of this distribution is approximated by a mixture of normal distributions, and the component indicators in these mixtures are introduced as further latent variables. This leads to Markov chain Monte Carlo estimation based on a convenient auxiliary mixture sampler that draws from standard distributions like normal or exponential distributions and, in contrast to more common Metropolis-Hastings approaches, does not require any tuning. It is shown how the auxiliary mixture sampler is implemented for binary or multinomial logit models, and it is demonstrated how to extend the sampler to mixed effect models and time-varying parameter models for binary and categorical data. Finally, an application to Austrian labor market data is discussed.     

A mixture of generalized latent variable models for mixed mode and heterogeneous data

In the behavioral, biomedical, and social-psychological sciences, mixed data types such as continuous, ordinal, count, and nominal are common. Subpopulations also often exist and contribute to heterogeneity in the data. In this paper, we propose a mixture of generalized latent variable models (GLVMs) to handle mixed types of heterogeneous data. Different link functions are specified to model data of multiple types. A Bayesian approach, together with the Markov chain Monte Carlo (MCMC) method, is used to conduct the analysis. A modified DIC is used for model selection of mixture components in the GLVMs. A simulation study shows that our proposed methodology performs satisfactorily. An application of mixture GLVM to a data set from the National Longitudinal Surveys of Youth (NLSY) is presented.     

Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions

This paper presents a type of heavy-tailed market microstructure models with the scale mixtures of normal distributions (MM-SMN), which include two specific sub-classes, viz. the slash and the Student-t distributions. Under a Bayesian perspective, the Markov Chain Monte Carlo (MCMC) method is constructed to estimate all the parameters and latent variables in the proposed MM-SMN models. Two evaluating indices, namely the deviance information criterion (DIC) and the test of white noise hypothesis on the standardised residual, are used to compare the MM-SMN models with the classic normal market microstructure (MM-N) model and the stochastic volatility models with the scale mixtures of normal distributions (SV-SMN). Empirical studies on daily stock return data show that the MM-SMN models can accommodate possible outliers in the observed returns by use of the mixing latent variable. These results also indicate that the heavy-tailed MM-SMN models have better model fitting than the MM-N model, and the market microstructure model with slash distribution (MM-s) has the best model fitting. Finally, the two evaluating indices indicate that the market microstructure models with three different distributions are superior to the corresponding stochastic volatility models.     

A data cloning algorithm for computing maximum likelihood estimates in spatial generalized linear mixed models

Non-Gaussian spatial data are common in many sciences such as environmental sciences, biology and epidemiology. Spatial generalized linear mixed models (SGLMMs) are flexible models for modeling these types of data. Maximum likelihood estimation in SGLMMs is usually made cumbersome due to the high-dimensional intractable integrals involved in the likelihood function and therefore the most commonly used approach for estimating SGLMMs is based on the Bayesian approach. This paper proposes a computationally efficient strategy to fit SGLMMs based on the data cloning (DC) method suggested by Lele et al. (2007). This method uses Markov chain Monte Carlo simulations from an artificially constructed distribution to calculate the maximum likelihood estimates and their standard errors. In this paper, the DC method is adapted and generalized to estimate SGLMMs and some of its asymptotic properties are explored. Performance of the method is illustrated by a set of simulated binary and Poisson count data and also data about car accidents in Mashhad, Iran. The focus is inference in SGLMMs for small and medium data sets.     

Bayesian significance testing and multiple comparisons from MCMC outputs

This article proposes a Bayesian method to directly evaluate and test hypotheses in multiple comparisons. Transformation and integration over the coordinates relevant to the hypothesis are shown to enable us to directly test the hypotheses expressed as a linear equation of a parameter vector, given a linear constraint. When the conditional posterior distribution of the parameter vector we are interested in is the multivariate normal distribution, the proposed method can be applied to calculate the p-value of hypotheses pertaining to the parameters in any complex model such as generalized linear mixed effect models with latent variables, by using outputs from Markov chain Monte Carlo (MCMC) methods. Further, the proposed testing can be implemented without prior information. Some applications are presented, and the simulation results are provided to compare the powers of this method with those of other methods of conventional multiple comparisons. Simulation studies have shown that the proposed method is valid for multiple comparisons under nonequivalent variances and mean comparisons in latent variable modeling with categorical variables.     

Identification of continuous-time models with slowly time-varying parameters

The off-line estimation of the parameters of continuous-time, linear, time-invariant transfer function models can be achieved straightforwardly using linear prefilters on the measured input and output of the system. The on-line estimation of continuous-time models with time-varying parameters is less straightforward because it requires the updating of the continuous-time prefilter parameters. This paper shows how such on-line estimation is possible by using recursive instrumental variable approaches. The proposed methods are presented in detail and also evaluated on a numerical example using both single experiment and Monte Carlo simulation analysis. In addition, the proposed recursive algorithms are tested using data from two real-life systems.     

Semiparametric regression for assessing agreement using tolerance bands

This article describes a Bayesian semiparametric approach for assessing agreement between two methods for measuring a continuous variable using tolerance bands. A tolerance band quantifies the extent of agreement in methods as a function of a covariate by estimating the range of their differences in a specified large proportion of population. The mean function of differences is modelled using a penalized spline through its mixed model representation. The covariance matrix of the errors may also depend on a covariate. The Bayesian approach is straightforward to implement using the Markov chain Monte Carlo methodology. It provides an alternative to the rather ad hoc frequentist likelihood-based approaches that do not work well in general. Simulation for two commonly used models and their special cases suggests that the proposed Bayesian method has reasonably good frequentist coverage. Two real data sets are used for illustration, and the Bayesian and the frequentist inferences are compared.     

A pseudo-likelihood approach for estimating diagnostic accuracy of multiple binary medical tests

Latent class models with crossed subject-specific and test(rater)-specific random effects have been proposed to estimate the diagnostic accuracy (sensitivity and specificity) of a group of binary tests or binary ratings. However, the computation of these models are hindered by their complicated Monte Carlo Expectation–Maximization (MCEM) algorithm. In this article, a class of pseudo-likelihood functions is developed for conducting statistical inference with crossed random-effects latent class models in diagnostic medicine. Theoretically, the maximum pseudo-likelihood estimation is still consistent and has asymptotic normality. Numerically, our results show that not only the pseudo-likelihood approach significantly reduces the computational time, but it has comparable efficiency relative to the MCEM algorithm. In addition, dimension-wise likelihood, one of the proposed pseudo-likelihoods, demonstrates its superior performance in estimating sensitivity and specificity.     

Mixtures-of-experts of autoregressive time series: asymptotic normality and model specification

We consider a class of nonlinear models based on mixtures of local autoregressive time series. At any given time point, we have a certain number of linear models, denoted as experts, where the vector of covariates may include lags of the dependent variable. Additionally, we assume the existence of a latent multinomial variable, whose distribution depends on the same covariates as the experts, that determines which linear process is observed. This structure, denoted as mixture-of-experts (ME), is considerably flexible in modeling the conditional mean function, as shown by Jiang and Tanner. We present a formal treatment of conditions to guarantee the asymptotic normality of the maximum likelihood estimator (MLE), under stationarity and nonstationarity, and under correct model specification and model misspecification. The performance of common model selection criteria in selecting the number of experts is explored via Monte Carlo simulations. Finally, we present applications to simulated and real data sets, to illustrate the ability of the proposed structure to model not only the conditional mean, but also the whole conditional density.     

Some extensions of score matching

Many probabilistic models are only defined up to a normalization constant. This makes maximum likelihood estimation of the model parameters very difficult. Typically, one then has to resort to Markov Chain Monte Carlo methods, or approximations of the normalization constant. Previously, a method called score matching was proposed for computationally efficient yet (locally) consistent estimation of such models. The basic form of score matching is valid, however, only for models which define a differentiable probability density function over Rⁿ. Therefore, some extensions of the framework are proposed. First, a related method for binary variables is proposed. Second, it is shown how to estimate non-normalized models defined in the non-negative real domain, i.e. . As a further result, it is shown that the score matching estimator can be obtained in closed form for some exponential families.     

马尔可夫系统瞬态不可用度计算的高效率蒙特卡罗方法

当马尔可夫系统规模较大时,需要采用蒙特卡罗方法计算其瞬态不可用度,如果系统的 不可用度很小,则需要采用高效率的蒙特卡罗方法.本文在马尔可夫系统寿命过程的积分方程的 基础上,给出了系统瞬态不可用度计算的蒙特卡罗方法的统一描述,由此设计了马尔可夫系统瞬 态不可用度计算的直接统计估计方法和加权统计估计方法.用直接仿真方法、拟仿真方法、基于 直接仿真的统计估计方法、基于拟方仿真的统计估计方法和加权统计估计方法计算了-可修 Con/3/30:F系统的瞬态不可用度.结果表明,由于同时采用了偏倚的抽样空间和逐次事件估计 量,加权统计估计方法的方差最小,当系统不可用度很小时,该方法效率最高.     

Variational Bayesian Mixture Model on a Subspace of Exponential Family Distributions

Exponential principal component analysis (e-PCA) has been proposed to reduce the dimension of the parameters of probability distributions using Kullback information as a distance between two distributions. It also provides a framework for dealing with various data types such as binary and integer for which the Gaussian assumption on the data distribution is inappropriate. In this paper, we introduce a latent variable model for the e-PCA. Assuming the discrete distribution on the latent variable leads to mixture models with constraint on their parameters. This provides a framework for clustering on the lower dimensional subspace of exponential family distributions. We derive a learning algorithm for those mixture models based on the variational Bayes (VB) method. Although intractable integration is required to implement the algorithm for a subspace, an approximation technique using Laplace's method allows us to carry out clustering on an arbitrary subspace. Combined with the estimation of the subspace, the resulting algorithm performs simultaneous dimensionality reduction and clustering. Numerical experiments on synthetic and real data demonstrate its effectiveness for extracting the structures of data as a visualization technique and its high generalization ability as a density estimation model.      

A New Generalized Weibull Model: Classical and Bayesian Estimation

Statistical distributions play a prominent role in applied sciences, particularly in biomedical sciences. The medical data sets are generally skewed to the right, and skewed distributions can be used quite effectively to model such kind of data sets. In the present study, therefore, we propose a new family of distributions suitable for modeling right-skewed medical data sets. The proposed family may be called a new generalized-X family. A special sub-model of the proposed family called a new generalized-Weibull distribution is discussed in detail. The maximum likelihood estimators of the model parameters are obtained. A brief Monte Carlo simulation study is conducted to evaluate the performance of these estimators. Finally, the proposed model is applied to the remission times of the stomach cancer patient’s data. The comparison of the goodness of fit results of the proposed model is made with the other competing models such as Weibull, Kumaraswamy Weibull, and exponentiated Weibull distributions. Certain analytical measures such as Akaike information criterion, Bayesian information criterion, Anderson Darling statistic, and Kolmogorov–Smirnov test statistic are considered to show which distribution provides the best fit to data. Based on these measures, it is showed that the proposed distribution is a reasonable candidate for modeling data in medical sciences and other related fields.