메뉴 건너뛰기




Volumn 51, Issue 7, 2007, Pages 3509-3528

Auxiliary mixture sampling with applications to logistic models

Author keywords

Binary data; Categorical data; Markov chain Monte Carlo; Random effects models; State space models; Utilities

Indexed keywords

APPROXIMATION THEORY; BINARY CODES; DATA REDUCTION; ERROR ANALYSIS; MARKOV PROCESSES; MONTE CARLO METHODS; STATE SPACE METHODS;

EID: 33845778635     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.10.006     Document Type: Article
Times cited : (72)

References (45)
  • 1
    • 21444433315 scopus 로고    scopus 로고
    • A general maximum likelihood analysis of overdispersion in generalized linear models
    • Aitkin M. A general maximum likelihood analysis of overdispersion in generalized linear models. Statist. Comput. 6 (1996) 251-262
    • (1996) Statist. Comput. , vol.6 , pp. 251-262
    • Aitkin, M.1
  • 2
    • 55549084723 scopus 로고
    • Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts
    • Albert J.H., and Chib S. Bayes inference via Gibbs sampling of autoregressive time series subject to Markov mean and variance shifts. J. Business Econom. Statist. 11 (1993) 1-15
    • (1993) J. Business Econom. Statist. , vol.11 , pp. 1-15
    • Albert, J.H.1    Chib, S.2
  • 4
    • 0000193853 scopus 로고
    • On Gibbs sampling for state space models
    • Carter C.K., and Kohn R. On Gibbs sampling for state space models. Biometrika 81 (1994) 541-553
    • (1994) Biometrika , vol.81 , pp. 541-553
    • Carter, C.K.1    Kohn, R.2
  • 5
    • 0040100079 scopus 로고    scopus 로고
    • Semiparametric Bayesian inference for time series with mixed spectra
    • Carter C.K., and Kohn R. Semiparametric Bayesian inference for time series with mixed spectra. J. Roy. Statist. Soc. Ser. B 59 (1997) 255-268
    • (1997) J. Roy. Statist. Soc. Ser. B , vol.59 , pp. 255-268
    • Carter, C.K.1    Kohn, R.2
  • 6
    • 0002609888 scopus 로고    scopus 로고
    • Posterior simulation and Bayes factors in panel count data models
    • Chib S., Greenberg E., and Winkelmann R. Posterior simulation and Bayes factors in panel count data models. J. Econometrics 86 (1998) 33-54
    • (1998) J. Econometrics , vol.86 , pp. 33-54
    • Chib, S.1    Greenberg, E.2    Winkelmann, R.3
  • 7
    • 0011716069 scopus 로고    scopus 로고
    • Markov chain Monte Carlo methods for stochastic volatility models
    • Chib S., Nardari F., and Shephard N. Markov chain Monte Carlo methods for stochastic volatility models. J. Econometrics 108 (2002) 281-316
    • (2002) J. Econometrics , vol.108 , pp. 281-316
    • Chib, S.1    Nardari, F.2    Shephard, N.3
  • 8
    • 0001325243 scopus 로고
    • The simulation smoother for time series models
    • De Jong P., and Shephard N. The simulation smoother for time series models. Biometrika 82 (1995) 339-350
    • (1995) Biometrika , vol.82 , pp. 339-350
    • De Jong, P.1    Shephard, N.2
  • 9
    • 0039644192 scopus 로고
    • Bayesian inference for generalized linear and proportional hazards models via Gibbs sampling
    • Dellaportas P., and Smith A.F.M. Bayesian inference for generalized linear and proportional hazards models via Gibbs sampling. Appl. Statist. 42 (1993) 443-459
    • (1993) Appl. Statist. , vol.42 , pp. 443-459
    • Dellaportas, P.1    Smith, A.F.M.2
  • 10
    • 33847413423 scopus 로고    scopus 로고
    • Dey, D., Ghosh, S.K., Mallick, B.K. (Eds.), 2000. Generalized Linear Models: a Bayesian Perspective. Marcel Dekker, NewYork, Basel.
  • 11
    • 3142711588 scopus 로고    scopus 로고
    • A simple and efficient simulation smoother for state space time series analysis
    • Durbin J., and Koopman S.J. A simple and efficient simulation smoother for state space time series analysis. Biometrika 89 (2002) 603-615
    • (2002) Biometrika , vol.89 , pp. 603-615
    • Durbin, J.1    Koopman, S.J.2
  • 12
    • 84981426681 scopus 로고
    • Data augmentation and dynamic linear models
    • Frühwirth-Schnatter S. Data augmentation and dynamic linear models. J. Time Series Anal. 15 (1994) 183-202
    • (1994) J. Time Series Anal. , vol.15 , pp. 183-202
    • Frühwirth-Schnatter, S.1
  • 13
    • 33847369235 scopus 로고    scopus 로고
    • Finite Mixture and Markov Switching Models
    • Springer, New York, Berlin, Heidelberg
    • Frühwirth-Schnatter S. Finite Mixture and Markov Switching Models. Springer Series in Statistics (2006), Springer, New York, Berlin, Heidelberg
    • (2006) Springer Series in Statistics
    • Frühwirth-Schnatter, S.1
  • 14
    • 33847370103 scopus 로고    scopus 로고
    • Frühwirth-Schnatter, S., Otter, T., 1999. Conjoint-analysis using mixed effect models. In: Friedl, H., Berghold, A., Kauermann, G. (Eds.), Statistical Modelling. Proceedings of the Fourteenth International Workshop on Statistical Modelling, Graz, pp. 181-191.
  • 15
    • 33847420720 scopus 로고    scopus 로고
    • Data augmentation and Gibbs sampling for regression models of small counts
    • Available at 〈http://www.ifas.jku.at/〉 as Research Report IFAS 2004-04
    • Frühwirth-Schnatter S., and Wagner H. Data augmentation and Gibbs sampling for regression models of small counts. Student 5 (2005) 207-220. http://www.ifas.jku.at/ Available at 〈http://www.ifas.jku.at/〉 as Research Report IFAS 2004-04
    • (2005) Student , vol.5 , pp. 207-220
    • Frühwirth-Schnatter, S.1    Wagner, H.2
  • 16
    • 33845796064 scopus 로고    scopus 로고
    • Frühwirth-Schnatter, S., Wagner, H., 2006. Auxiliary mixture sampling for parameter-driven models of time series of small counts with applications to state space modelling. Biometrika, to appear.
  • 18
    • 0042042167 scopus 로고    scopus 로고
    • Efficient sampling from the posterior distribution in generalized linear mixed models
    • Gamerman D. Efficient sampling from the posterior distribution in generalized linear mixed models. Statist. Comput. 7 (1997) 57-68
    • (1997) Statist. Comput. , vol.7 , pp. 57-68
    • Gamerman, D.1
  • 19
    • 0001053807 scopus 로고    scopus 로고
    • Markov chain Monte Carlo for dynamic generalized linear models
    • Gamerman D. Markov chain Monte Carlo for dynamic generalized linear models. Biometrika 85 (1998) 215-227
    • (1998) Biometrika , vol.85 , pp. 215-227
    • Gamerman, D.1
  • 20
    • 0348197212 scopus 로고    scopus 로고
    • Mixture of normals probit models
    • Hsiao C., Pesaran M.H., Lahiri K.L., and Lee L.F. (Eds), Cambridge University Press, Cambridge
    • Geweke J., and Keane M. Mixture of normals probit models. In: Hsiao C., Pesaran M.H., Lahiri K.L., and Lee L.F. (Eds). Analysis of Panels and Limited Dependent Variables (1999), Cambridge University Press, Cambridge 49-78
    • (1999) Analysis of Panels and Limited Dependent Variables , pp. 49-78
    • Geweke, J.1    Keane, M.2
  • 21
    • 84867151416 scopus 로고    scopus 로고
    • Bayesian auxiliary variable models for binary and multinomial regression
    • Holmes C.C., and Held L. Bayesian auxiliary variable models for binary and multinomial regression. Bayesian Anal. 1 (2006) 145-168
    • (2006) Bayesian Anal. , vol.1 , pp. 145-168
    • Holmes, C.C.1    Held, L.2
  • 23
    • 0001251517 scopus 로고    scopus 로고
    • Stochastic volatility: likelihood inference and comparison with ARCH models
    • Kim S., Shephard N., and Chib S. Stochastic volatility: likelihood inference and comparison with ARCH models. Rev. Econom. Stud. 65 (1998) 361-393
    • (1998) Rev. Econom. Stud. , vol.65 , pp. 361-393
    • Kim, S.1    Shephard, N.2    Chib, S.3
  • 24
    • 0034147039 scopus 로고    scopus 로고
    • Bayesian inference for finite mixtures of generalized linear models with random effects
    • Lenk P.J., and DeSarbo W.S. Bayesian inference for finite mixtures of generalized linear models with random effects. Psychometrika 65 (2000) 93-119
    • (2000) Psychometrika , vol.65 , pp. 93-119
    • Lenk, P.J.1    DeSarbo, W.S.2
  • 26
    • 43949158952 scopus 로고
    • An exact likelihood analysis of the multinomial probit models
    • McCulloch R., and Rossi P.E. An exact likelihood analysis of the multinomial probit models. J. Econometrics 64 (1994) 207-240
    • (1994) J. Econometrics , vol.64 , pp. 207-240
    • McCulloch, R.1    Rossi, P.E.2
  • 27
    • 0001434493 scopus 로고    scopus 로고
    • A Bayesian analysis of the multinomial probit model with fully identified parameters
    • McCulloch R.E., Polson N.G., and Rossi P.E. A Bayesian analysis of the multinomial probit model with fully identified parameters. J. Econometrics 99 (2000) 173-193
    • (2000) J. Econometrics , vol.99 , pp. 173-193
    • McCulloch, R.E.1    Polson, N.G.2    Rossi, P.E.3
  • 28
    • 0002297105 scopus 로고
    • Conditional logit analysis of qualitative choice behaviour
    • Zarembka P. (Ed), Academic Press, New York
    • McFadden D. Conditional logit analysis of qualitative choice behaviour. In: Zarembka P. (Ed). Frontiers of Econometrics (1974), Academic Press, New York 105-142
    • (1974) Frontiers of Econometrics , pp. 105-142
    • McFadden, D.1
  • 29
    • 0034365737 scopus 로고    scopus 로고
    • Mixed MNL models of discrete responses
    • McFadden D., and Train K. Mixed MNL models of discrete responses. J. Appl. Econometrics 15 (2000) 447-470
    • (2000) J. Appl. Econometrics , vol.15 , pp. 447-470
    • McFadden, D.1    Train, K.2
  • 30
    • 0000238336 scopus 로고
    • A simplex method for function minimization
    • Nelder J., and Mead R. A simplex method for function minimization. Comput. J. 7 (1965) 308-313
    • (1965) Comput. J. , vol.7 , pp. 308-313
    • Nelder, J.1    Mead, R.2
  • 31
    • 33847401696 scopus 로고    scopus 로고
    • Omori, Y., Chib, S., Shephard, N., Nakajima, J., 2004. Stochastic volatility with leverage: fast likelihood inference. Research Report.
  • 33
    • 0041375875 scopus 로고    scopus 로고
    • On convergence of the EM algorithm and the Gibbs sampler
    • Sahu S.K., and Roberts G.O. On convergence of the EM algorithm and the Gibbs sampler. Statist. Comput. 9 (1999) 55-64
    • (1999) Statist. Comput. , vol.9 , pp. 55-64
    • Sahu, S.K.1    Roberts, G.O.2
  • 34
    • 33847371860 scopus 로고    scopus 로고
    • Scott, S.L., 2004. Data augmentation, frequentistic estimation, and the Bayesian analysis of multinomial logit models. Technical Report, The Marshall School of Business, University of Southern California, Los Angeles.
  • 35
    • 0038853197 scopus 로고
    • Partial non-Gaussian state space
    • Shephard N. Partial non-Gaussian state space. Biometrika 81 (1994) 115-131
    • (1994) Biometrika , vol.81 , pp. 115-131
    • Shephard, N.1
  • 36
    • 0003258788 scopus 로고    scopus 로고
    • Likelihood analysis of non-Gaussian measurement time series
    • Shephard N., and Pitt M.K. Likelihood analysis of non-Gaussian measurement time series. Biometrika 84 (1997) 653-667
    • (1997) Biometrika , vol.84 , pp. 653-667
    • Shephard, N.1    Pitt, M.K.2
  • 39
    • 0000569928 scopus 로고    scopus 로고
    • A linear mixed-effects model with heterogeneity in the random-effects population
    • Verbeke G., and Lesaffre E. A linear mixed-effects model with heterogeneity in the random-effects population. J. Amer. Statist. Assoc. 91 (1996) 217-221
    • (1996) J. Amer. Statist. Assoc. , vol.91 , pp. 217-221
    • Verbeke, G.1    Lesaffre, E.2
  • 40
    • 0029938342 scopus 로고    scopus 로고
    • Mixed Poisson regression models with covariate dependent rates
    • Wang P., Puterman M.L., Cockburn I., and Le N. Mixed Poisson regression models with covariate dependent rates. Biometrics 52 (1996) 381-400
    • (1996) Biometrics , vol.52 , pp. 381-400
    • Wang, P.1    Puterman, M.L.2    Cockburn, I.3    Le, N.4
  • 41
    • 33847356278 scopus 로고    scopus 로고
    • Weber, A., 2001. State dependence and wage dynamics: a heterogeneous Markov chain model for wage mobility in Austria. Research Report Institute for Advanced Sudies.
  • 42
    • 84910906566 scopus 로고
    • Generalized linear models with random effects: a Gibbs sampling approach
    • Zeger S., and Karim M. Generalized linear models with random effects: a Gibbs sampling approach. J. Amer. Statist. Assoc. 86 (1991) 79-86
    • (1991) J. Amer. Statist. Assoc. , vol.86 , pp. 79-86
    • Zeger, S.1    Karim, M.2
  • 43
    • 0024204207 scopus 로고
    • Markov regression models for time series: a quasi-likelihood approach
    • Zeger S.L., and Qaqish B. Markov regression models for time series: a quasi-likelihood approach. Biometrics 44 (1988) 1019-1031
    • (1988) Biometrics , vol.44 , pp. 1019-1031
    • Zeger, S.L.1    Qaqish, B.2
  • 45
    • 0001190784 scopus 로고
    • Bayesian analysis of dichotomous quantal response models
    • Zellner A., and Rossi P.E. Bayesian analysis of dichotomous quantal response models. J. Econometrics 25 (1984) 365-393
    • (1984) J. Econometrics , vol.25 , pp. 365-393
    • Zellner, A.1    Rossi, P.E.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.