1.I.5J

Statistical Modelling | Part II, 2008

Consider the following Binomial generalized linear model for data y1,…,yny_{1}, \ldots, y_{n}, with logit link function. The data y1,…,yny_{1}, \ldots, y_{n} are regarded as observed values of independent random variables Y1,…,YnY_{1}, \ldots, Y_{n}, where

Yi∼Bin⁡(1,μi),log⁡μi1−μi=β⊤xi,i=1,…,n,Y_{i} \sim \operatorname{Bin}\left(1, \mu_{i}\right), \quad \log \frac{\mu_{i}}{1-\mu_{i}}=\beta^{\top} x_{i}, \quad i=1, \ldots, n,

where β\beta is an unknown pp-dimensional parameter, and where x1,…,xnx_{1}, \ldots, x_{n} are known pp dimensional explanatory variables. Write down the likelihood function for y=(y1,…,yn)y=\left(y_{1}, \ldots, y_{n}\right) under this model.

Show that the maximum likelihood estimate β^\hat{\beta} satisfies an equation of the form X⊤y=X⊤μ^X^{\top} y=X^{\top} \hat{\mu}, where XX is the p×np \times n matrix with rows x1⊤,…,xn⊤x_{1}^{\top}, \ldots, x_{n}^{\top}, and where μ^=\hat{\mu}= (μ^1,…,μ^n)\left(\hat{\mu}_{1}, \ldots, \hat{\mu}_{n}\right), with μ^i\hat{\mu}_{i} a function of xix_{i} and β^\hat{\beta}, which you should specify.

Define the deviance D(y;μ^)D(y ; \hat{\mu}) and find an explicit expression for D(y;μ^)D(y ; \hat{\mu}) in terms of yy and μ^\hat{\mu} in the case of the model above.

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