Asymptotic properties and information criteria for misspecified generalized linear mixed models

doi:10.1111/rssb.12270

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	Asymptotic properties and information criteria for misspecified generalized linear mixed models
	Yu, Dalei 1; Zhang, Xinyu2 ; Yau, Kelvin K. W.3
	2018-09-01
发表期刊	JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY
ISSN	1369-7412
卷号	80 期号:4 页码:817-836
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.
关键词	Asymptotic loss efficiency Conditional inference Misspecified generalized linear mixed model Model selection Penalized likelihood
DOI	10.1111/rssb.12270
语种	英语
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
WOS类目	Statistics & Probability
WOS记录号	WOS:000442217900010
出版者	WILEY
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/31129
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.