Paper 1, Section I, I

Statistical Modelling | Part II, 2009

Consider a binomial generalised linear model for data y1,,yny_{1}, \ldots, y_{n}, modelled as realisations of independent YiBin(1,μi)Y_{i} \sim \operatorname{Bin}\left(1, \mu_{i}\right) and logitlink\operatorname{logit} \operatorname{link}, i.e. logμi1μi=βxi\log \frac{\mu_{i}}{1-\mu_{i}}=\beta x_{i}, for some known constants x1,,xnx_{1}, \ldots, x_{n}, and an unknown parameter β\beta. Find the log-likelihood for β\beta, and the likelihood equations that must be solved to find the maximum likelihood estimator β^\hat{\beta} of β\beta.

Compute the first and second derivatives of the log-likelihood for β\beta, and explain the algorithm you would use to find β^\hat{\beta}.

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