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A Closed-form Alternative Estimator for GLM with Categorical Explanatory Variables

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  • معلومة اضافية
    • Contributors:
      Laboratoire Manceau de Mathématiques (LMM); Le Mans Université (UM); CEntre de REcherches en MAthématiques de la DEcision (CEREMADE); Université Paris Dauphine-PSL; Université Paris Sciences et Lettres (PSL)-Université Paris Sciences et Lettres (PSL)-Centre National de la Recherche Scientifique (CNRS); Génétique Physiologie et Systèmes d'Elevage (GenPhySE ); Ecole Nationale Vétérinaire de Toulouse (ENVT); Institut National Polytechnique (Toulouse) (Toulouse INP); Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National Polytechnique (Toulouse) (Toulouse INP); Université de Toulouse (UT)-Université de Toulouse (UT)-École nationale supérieure agronomique de Toulouse (ENSAT); Université de Toulouse (UT)-Université de Toulouse (UT)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE); Le Mans University; MMA company; Groupama Centre-Manche company; ANR-21-CE40-0021,EFFI,Estimation efficace pour les données massives ou à haute-fréquence(2021); ANR-11-LABX-0020,LEBESGUE,Centre de Mathématiques Henri Lebesgue : fondements, interactions, applications et Formation(2011)
    • بيانات النشر:
      HAL CCSD
      Taylor & Francis
    • الموضوع:
      2022
    • Collection:
      Université Paris-Dauphine: HAL
    • نبذة مختصرة :
      International audience ; The parameters of generalized linear models (GLMs) are usually estimated by the maximum likelihood estimator (MLE) which is known to be asymptotically efficient. But the MLE is computed using a Newton-Raphson-type algorithm which is time-consuming for a large number of variables or modalities, or a large sample size. An alternative closed-form estimator is proposed in this paper in the case of categorical explanatory variables. Asymptotic properties of the alternative estimator is studied. The performances in terms of both computation time and asymptotic variance of the proposed estimator are compared with the MLE for a Gamma distributed GLM.
    • Relation:
      hal-03689206; https://hal.science/hal-03689206; https://hal.science/hal-03689206/document; https://hal.science/hal-03689206/file/article_univariateGLM_depot_Hal.pdf; WOS: 000801168200001
    • الرقم المعرف:
      10.1080/03610918.2022.2076870
    • Rights:
      http://hal.archives-ouvertes.fr/licences/copyright/ ; info:eu-repo/semantics/OpenAccess
    • الرقم المعرف:
      edsbas.6235DAC4