Contribution to the discussion of "Double hierarchical generalized linear models" by Y. Lee and J.A. Nelder

Firth, D. (2006) Contribution to the discussion of "Double hierarchical generalized linear models" by Y. Lee and J.A. Nelder. Journal of the Royal Statistical Society Series C (Applied Statistics), 55 (2). pp. 168-170. ISSN 0035-9254

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Official URL: http://www3.interscience.wiley.com/journal/1185809...

Abstract

We propose a class of double hierarchical generalized linear models in which random effects can be specified for both the mean and dispersion. Heteroscedasticity between clusters can be modelled by introducing random effects in the dispersion model, as is heterogeneity between clusters in the mean model. This class will, among other things, enable models with heavy-tailed distributions to be explored, providing robust estimation against outliers. The h-likelihood provides a unified framework for this new class of models and gives a single algorithm for fitting all members of the class. This algorithm does not require quadrature or prior probabilities.

Item Type:Article
Subjects:5. Quantitative Data Handling and Data Analysis > 5.5 Regression Methods
5. Quantitative Data Handling and Data Analysis > 5.6 Multilevel Modelling
ID Code:2220
Deposited By: L-W-S user
Deposited On:20 Feb 2012 15:05
Last Modified:20 Feb 2012 15:05

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