A new linearized ridge Poisson estimator in the presence of multicollinearity

Poisson regression is a very commonly used technique for modeling the count data in applied sciences, in which the model parameters are usually estimated by the maximum likelihood method. However, the presence of multicollinearity inflates the variance of maximum likelihood (ML) estimator and the estimated parameters give unstable results. In this article, a new linearized ridge Poisson estimator is introduced to deal with the problem of multicollinearity. Based on the asymptotic properties of ML estimator, the bias, covariance and mean squared error of the proposed estimator are obtained and the optimal choice of shrinkage parameter is derived. The performance of the existing estimators and proposed estimator is evaluated through Monte Carlo simulations and two real data applications. The results clearly reveal that the proposed estimator outperforms the existing estimators in the mean squared error sense.KEYWORDS: Poisson regression, multicollinearity, ridge Poisson estimator, linearized ridge regression estimator, mean squared errorMathematics Subject Classifications: 62J07, 62F10     

Modified ridge-type for the Poisson regression model: simulation and application

The Poisson regression model (PRM) is employed in modelling the relationship between a count variable (y) and one or more explanatory variables. The parameters of PRM are popularly estimated using the Poisson maximum likelihood estimator (PMLE). There is a tendency that the explanatory variables grow together, which results in the problem of multicollinearity. The variance of the PMLE becomes inflated in the presence of multicollinearity. The Poisson ridge regression (PRRE) and Liu estimator (PLE) have been suggested as an alternative to the PMLE. However, in this study, we propose a new estimator to estimate the regression coefficients for the PRM when multicollinearity is a challenge. We perform a simulation study under different specifications to assess the performance of the new estimator and the existing ones. The performance was evaluated using the scalar mean square error criterion and the mean squared error prediction error. The aircraft damage data was adopted for the application study and the estimators’ performance judged by the SMSE and the mean squared prediction error. The theoretical comparison shows that the proposed estimator outperforms other estimators. This is further supported by the simulation study and the application result.KEYWORDS: Poisson regression model, Poisson maximum likelihood estimator, multicollinearity, Poisson ridge regression, Liu estimator, simulation     

A new modified Jackknifed estimator for the Poisson regression model

The Poisson regression is very popular in applied researches when analyzing the count data. However, multicollinearity problem arises for the Poisson regression model when the independent variables are highly intercorrelated. Shrinkage estimator is a commonly applied solution to the general problem caused by multicollinearity. Recently, the ridge regression (RR) estimators and some methods for estimating the ridge parameter k in the Poisson regression have been proposed. It has been found that some estimators are better than the commonly used maximum-likelihood (ML) estimator and some other RR estimators. In this study, the modified Jackknifed Poisson ridge regression (MJPR) estimator is proposed to remedy the multicollinearity. A simulation study and a real data example are provided to evaluate the performance of estimators. Both mean-squared error and the percentage relative error are considered as the performance criteria. The simulation study and the real data example results show that the proposed MJPR method outperforms the Poisson ridge regression, Jackknifed Poisson ridge regression and the ML in all of the different situations evaluated in this paper.     

One mixed negative binomial distribution with application

In this paper we do some research on a three-parameter distribution which is called beta-negative binomial (BNB) distribution, a beta mixture of negative binomial (NB) distribution. The closed form and the factorial moment of the BNB distribution are derived. In addition, we present the recursion on the pdf of BNB stopped-sum distribution, and make stochastic comparison between BNB and NB distributions. Furthermore, we have shown that BNB distribution has heavier tail than NB distribution. The application of BNB distribution is carried out on one sample of insurance data. Based on the results, we have shown that the BNB provides a better fit compared to the Poisson and the NB for count data.     

Estimators for a Poisson parameter using ranked set sampling

Using ranked set sampling, a viable BLUE estimator is obtained for estimating the mean of a Poisson distribution. Its properties, such as efficiency relative to the ranked set sample mean and to the maximum likelihood estimator, have been calculated for different sample sizes and values of the Poisson parameter. The estimator (termed the normal modified r.s.s. estimator is more efficient than both the ranked set sample mean and the MLE. It is recommended as a reasonable estimator of the Poisson mean ( λ) to be used in a ranked set sampling environment.     

New types of shrinkage estimators of Poisson means under the normalized squared error loss

In estimating p( ? 2) independent Poisson means, Clevenson and Zidek (1975) have proposed a class of estimators that shrink the unbiased estimator to the origin and dominate the unbiased one under the normalized squared error loss. This class of estimators was subsequently enlarged in several directions. This article deals with the problem and proposes new classes of dominating estimators using prior information pertinently. Dominance is shown by partitioning the sample space into disjoint subsets and averaging the loss difference over each subset. Estimation of several Poisson mean vectors is also discussed. Further, simultaneous estimation of Poisson means under order restriction is treated and estimators which dominate the isotonic regression estimator are proposed for some types of order restrictions.     

Combining poisson means

The problem of estimating the Poisson mean is considered based on the two samples in the presence of uncertain prior information (not in the form of distribution) that two independent random samples taken from two possibly identical Poisson populations. The parameter of interest is λ₁ from population I. Three estimators, i.e. the unrestricted estimator, restricted estimator and preliminary test estimator are proposed. Their asymptotic mean squared errors are derived and compared; parameter regions have been found for which restricted and preliminary test estimators are always asymptotically more efficient than the classical estimator. The relative dominance picture of the estimators is presented. Maximum and minimum asymptotic efficiencies of the estimators relative to the classical estimator are tabulated. A max-min rule for the size of the preliminary test is also discussed. A Monte Carlo study is presented to compare the performance of the estimator with that of Kale and Bancroft (1967).     

A conditional perspective of weighted variance estimation of the optimal regression estimator

The estimation of the variance for the GREG (general regression) estimator by weighted residuals is widely accepted as a method which yields estimators with good conditional properties. Since the optimal (regression) estimator shares the properties of GREG estimators which are used in the construction of weighted variance estimators, we introduce the weighting procedure also for estimating the variance of the optimal estimator. This method of variance estimation was originally presented in a seemingly ad hoc manner, and we shall discuss it from a conditional point of view and also look at an alternative way of utilizing the weights. Examples that stress conditional behaviour of estimators are then given for elementary sampling designs such as simple random sampling, stratified simple random sampling and Poisson sampling, where for the latter design we have conducted a small simulation study.     

Dealing with excess of zeros in the statistical analysis of magnetic resonance imaging lesion count in multiple sclerosis

Lesion count observed on brain magnetic resonance imaging scan is a common end point in phase 2 clinical trials evaluating therapeutic treatment in relapsing remitting multiple sclerosis (MS). This paper compares the performances of Poisson, zero‐inflated poisson (ZIP), negative binomial (NB), and zero‐inflated NB (ZINB) mixed‐effects regression models in fitting lesion count data in a clinical trial evaluating the efficacy and safety of fingolimod in comparison with placebo, in MS. The NB and ZINB models prove to be superior to the Poisson and ZIP models. We discuss the advantages and limitations of zero‐inflated models in the context of MS treatment. Copyright © 2012 John Wiley & Sons, Ltd.     

Local linear smoothing of receiver operating characteristic (ROC) curves

For measuring the accuracy of a continuous diagnostic test, the receiver operating characteristic (ROC) curve is often used. The empirical ROC curve is the most commonly used non-parametric estimator for the ROC curve. Recently, Lloyd (J. Amer. Statist. Assoc. 93(1998) 1356) proposed a kernel smoothing estimator for the ROC curve and showed his estimator has better mean square error than the empirical ROC curve estimator. However, Lloyd's estimator involves two bandwidths and has a boundary problem. In addition, his choice of bandwidths is ad hoc. In this paper we propose another kernel smoothing estimator which involves only one bandwidth and does not have the boundary problem. Furthermore, our choice of the bandwidth is asymptotically optimal.     

Properties of robust m-estimators for poisson and negative binomial data ∗

We investigate robust M-estimators of location and over-dispersion for independent and identically distributed samples from Poisson and Negative Binomial (NB)distributions. We focus on asymptotic and small-sample efficiencies, outlier-induced biases, and biases caused by model mis-specification. This is important information for assessing the practical utility of the estimation method. Our results demonstrate that resonably efficient estimation of location and over-dispersion parameters for count data is possible with samples sizes as small as n=25. The sensitivity of these stimators, especially when the amount of over-dispersion is small. We aslo conclude that serious biases result when using robust Poisson M-estimation with NB data. The biases are less serious when using robust NB M-estimation with Poisson data.     

The empirical Bayes estimators of the parameter of the Poisson distribution with a conjugate gamma prior under Stein's loss function

For the hierarchical Poisson and gamma model, we calculate the Bayes posterior estimator of the parameter of the Poisson distribution under Stein's loss function which penalizes gross overestimation and gross underestimation equally and the corresponding Posterior Expected Stein's Loss (PESL). We also obtain the Bayes posterior estimator of the parameter under the squared error loss and the corresponding PESL. Moreover, we obtain the empirical Bayes estimators of the parameter of the Poisson distribution with a conjugate gamma prior by two methods. In numerical simulations, we have illustrated: The two inequalities of the Bayes posterior estimators and the PESLs; the moment estimators and the Maximum Likelihood Estimators (MLEs) are consistent estimators of the hyperparameters; the goodness-of-fit of the model to the simulated data. The numerical results indicate that the MLEs are better than the moment estimators when estimating the hyperparameters. Finally, we exploit the attendance data on 314 high school juniors from two urban high schools to illustrate our theoretical studies.     

AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR CHAIN BINOMIAL MODELS

Using the Poisson approximation to the Binomial distribution, we construct an approximate maximum likelihood estimator (MLE) for a class of chain binomial models. Our estimator proves to have properties which may make it preferable to the exact WLE.     

Nonparametric maximum likelihood estimation of population size based on the counting distribution

Summary.  The paper discusses the estimation of an unknown population size n . Suppose that an identification mechanism can identify n _obs cases. The Horvitz–Thompson estimator of n adjusts this number by the inverse of 1− p ₀, where the latter is the probability of not identifying a case. When repeated counts of identifying the same case are available, we can use the counting distribution for estimating p ₀ to solve the problem. Frequently, the Poisson distribution is used and, more recently, mixtures of Poisson distributions. Maximum likelihood estimation is discussed by means of the EM algorithm. For truncated Poisson mixtures, a nested EM algorithm is suggested and illustrated for several application cases. The algorithmic principles are used to show an inequality, stating that the Horvitz–Thompson estimator of n by using the mixed Poisson model is always at least as large as the estimator by using a homogeneous Poisson model. In turn, if the homogeneous Poisson model is misspecified it will, potentially strongly, underestimate the true population size. Examples from various areas illustrate this finding.     

Estimating the negative binomial dispersion parameter with highly stratified surveys

We investigate several estimators of the negative binomial (NB) dispersion parameter for highly stratified count data for which the statistical model has a separate mean parameter for each stratum. If the number of samples per stratum is small then the model is highly parameterized and the maximum likelihood estimator (MLE) of the NB dispersion parameter can be biased and inefficient. Some of the estimators we investigate include adjustments for the number of mean parameters to reduce bias. We extend other estimators that were developed for the iid case, to reduce bias when there are many mean parameters. We demonstrate using simulations that an adjusted double extended quasi-likelihood estimator we proposed gives much improved estimates compared to the MLE. Adjusted extended quasi-likelihood and adjusted maximum likelihood estimators also give much-improved results. We illustrate the various estimators with stratified random bottom trawl survey data for cod (Gadus morhua) off the south coast of Newfoundland, Canada.     

Some General Comparative Points on Chao's and Zelterman's Estimators of the Population Size

Abstract. Two simple and frequently used capture–recapture estimates of the population size are compared: Chao's lower‐bound estimate and Zelterman's estimate allowing for contaminated distributions. In the Poisson case it is shown that if there are only counts of ones and twos, the estimator of Zelterman is always bounded above by Chao's estimator. If counts larger than two exist, the estimator of Zelterman is becoming larger than that of Chao's, if only the ratio of the frequencies of counts of twos and ones is small enough. A similar analysis is provided for the binomial case. For a two‐component mixture of Poisson distributions the asymptotic bias of both estimators is derived and it is shown that the Zelterman estimator can experience large overestimation bias. A modified Zelterman estimator is suggested and also the bias‐corrected version of Chao's estimator is considered. All four estimators are compared in a simulation study.     

Improved two-parameter estimators for the negative binomial and Poisson regression models

Negative binomial regression (NBR) and Poisson regression (PR) applications have become very popular in the analysis of count data in recent years. However, if there is a high degree of relationship between the independent variables, the problem of multicollinearity arises in these models. We introduce new two-parameter estimators (TPEs) for the NBR and the PR models by unifying the two-parameter estimator (TPE) of Özkale and Kaç?ranlar [The restricted and unrestricted two-parameter estimators. Commun Stat Theory Methods. 2007;36:2707–2725]. These new estimators are general estimators which include maximum likelihood (ML) estimator, ridge estimator (RE), Liu estimator (LE) and contraction estimator (CE) as special cases. Furthermore, biasing parameters of these estimators are given and a Monte Carlo simulation is done to evaluate the performance of these estimators using mean square error (MSE) criterion. The benefits of the new TPEs are also illustrated in an empirical application. The results show that the new proposed TPEs for the NBR and the PR models are better than the ML estimator, the RE and the LE.     

Pooling means under uncertain prior information with application to discrete distributions

The problem of pooling means is considered based on two samples in presence of the uncertain prior information that these samples are taken from possibly identical populations. Two discrete models, Poisson and binomial are considered in particular. Three estimators, i.e. the unrestricted estimator, shrinkage restricted estimator and estimators based on preliminary test are proposed. Their asymptotic mean squared errors are derived and compared. It is demonstrated via asymptotic results that the range of the parameter space in which shrinkage preliminary test estimator dominates the unrestricted estimator is wider than that of the usual preliminary test estimator. A Monte Carlo study for Poisson model is presented to compare the performance of the estimators for small samples.     

The VGAM package for negative binomial regression

Negative binomial (NB) regression is the most common full‐likelihood method for analysing count data exhibiting overdispersion with respect to the Poisson distribution. Usually most practitioners are content to fit one of two NB variants, however other important variants exist. It is demonstrated here that the VGAM R package can fit them all under a common statistical framework founded upon a generalised linear and additive model approach. Additionally, other modifications such as zero‐altered (hurdle), zero‐truncated and zero‐inflated NB distributions are naturally handled. Rootograms are also available for graphically checking the goodness of fit. Two data sets and some recently added features of the VGAM package are used here for illustration.     

Time series count data regression

The count data model studied in the paper extends the Poisson model by al-lowing for overdispersion and serial correlation. Alternative approaches to esti-mate nuisance parameters, required for the correction of the Poisson maximum likelihood covariance matrix estimator and for a quasi-likelihood estimator, are studied. The estimators are evaluated by finite sample Monte Carlo experi-mentation. It is found that the Poisson maximum likelihood estimator with corrected covariance matrix estimators provide reliable inferences for longer time series. Overdispersion test statistics are wellbehaved, while conventional portmanteau statistics for white noise have too large sizes. Two empirical illustrations are included.