Paper 1, Section I, K

Statistical Modelling | Part II, 2012

Let Y1,,YnY_{1}, \ldots, Y_{n} be independent with Yi1niBin(ni,μi),i=1,,nY_{i} \sim \frac{1}{n_{i}} \operatorname{Bin}\left(n_{i}, \mu_{i}\right), i=1, \ldots, n, and

log(μi1μi)=xiβ\log \left(\frac{\mu_{i}}{1-\mu_{i}}\right)=x_{i}^{\top} \beta

where xix_{i} is a p×1p \times 1 vector of regressors and β\beta is a p×1p \times 1 vector of parameters. Write down the likelihood of the data Y1,,YnY_{1}, \ldots, Y_{n} as a function of μ=(μ1,,μn)\mu=\left(\mu_{1}, \ldots, \mu_{n}\right). Find the unrestricted maximum likelihood estimator of μ\mu, and the form of the maximum likelihood estimator μ^=(μ^1,,μ^n)\hat{\mu}=\left(\hat{\mu}_{1}, \ldots, \hat{\mu}_{n}\right) under the logistic model (1).

Show that the deviance for a comparison of the full (saturated) model to the generalised linear model with canonical link (1) using the maximum likelihood estimator β^\hat{\beta} can be simplified to

D(y;μ^)=2i=1n[niyixiβ^nilog(1μ^i)]D(y ; \hat{\mu})=-2 \sum_{i=1}^{n}\left[n_{i} y_{i} x_{i}^{\top} \hat{\beta}-n_{i} \log \left(1-\hat{\mu}_{i}\right)\right]

Finally, obtain an expression for the deviance residual in this generalised linear model.

Typos? Please submit corrections to this page on GitHub.