HUDU

Statistical Modelling and Regression Structures


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Januar 2010

Beschreibung

Beschreibung

printingsandremainstobeakeyreferenceonappliedstatisticalmodellingutilizing generalizedlinearmodels. Ludwigalsohadgreatin?uenceonthecreationofthe StatisticalModellingSociety,andiscurrentlyontheadvisoryboardofthecor- spondingjournalon"StatisticalModelling. "Boththesocietyandjournalemerged outoftheearlyGLIMworkshopsandproceedings. v vi Foreword Ofcourse,Ludwig'sworkisde?nitelynotrestrictedtogeneralizedlinearmodels but-onthecontrary-spansawiderangeofmodernStatistics. Heco-authoredor co-editedseveralmonographs,e. g. onMultivariateStatistics,StochasticProcesses, MeasurementofCreditRisks,aswellaspopulartextbooksonRegressionandan IntroductiontoStatistics. Hisrecentresearchcontributionsaremostlyconcentrated insemiparametricregressionandspatialstatisticswithinaBayesianframework. When?rstcirculatingtheideaofaFestschriftforthecelebrationofLudwig's 65thbirthday,allpotentialcontributorswereextremelypositive,manyimmediately agreeingtocontribute. ThesereactionsatesttoLudwig'shighpersonalandp- fessionalappreciationinthestatisticalcommunity. Thefarreachingandvarietyof subjectscoveredwithinthesecontributionsalsorepresentsLudwig'sbroadinterest andimpactinmanybranchesofmodernStatistics. BotheditorsofthisFestschriftwereluckyenoughtoworkwithLudwigatseveral occasionsandinparticularearlyintheircareersasPhDstudentsandPostDocs. His personalandprofessionalmentorshipandhisstrongcommitmentmadehimaperfect supervisorandhispatient,con?dentandencouragingworkingstylewillalwaysbe rememberedbyallofhisstudentsandcolleagues. Ludwigalwaysprovidedafriendly workingenvironmentthatmadeitapleasureandanhonortobeapartofhisworking group. WeareproudtobeabletosaythatLudwigismuchmorethanacolleague butturnedintoafriendforbothofus. OldenburgandMunich,January2010 ThomasKneib,GerhardTutz Acknowledgements Theeditorswouldliketoexpresstheirgratitudeto . allauthorsofthisvolumefortheiragreementtocontributeandtheireasyco- erationatseveralstagesofputtingtogetherthe?nalversionoftheFestschrift. . JohannaBrandt,JanGertheiss,AndreasGroll,FelixHeinzl,SebastianPetry,Jan UlbrichtandStephanieRubenbauerfortheirinvaluablecontributionsinproof- A readingandcorrectionofthepapers,aswellasinsolvingseveralLTX-related E problems. . theSpringerVerlagforagreeingtopublishthisFestschriftandinparticularNils- PeterThomas,AliceBlanck and FrankHolzwarthfor the smooth collabo- tion in preparing th emanuscript. vii Contents ListofContributors. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . xix TheSmoothComplexLogarithmandQuasi-PeriodicModels . . . . . . . . . . 1 PaulH. C. Eilers 1 Foreword. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 2 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 3 DataandModels. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 3. 1 TheBasicModel. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 3. 2 SplinesandPenalties. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 3. 3 StartingValues. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 3. 4 SimpleTrendCorrectionandPriorTransformation. . . . . 8 3. 5 AComplexSignal. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 8 3. 6 Non-normalDataandCascadedLinks. . . . . . . . . . . . . . . . 10 3. 7 AddingHarmonics. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 4 MoretoExplore. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 5 Discussion. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 P-splineVaryingCoef?cientModelsforComplexData. . . . . . . . . . . . . . . . 19 BrianD. Marx 1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 2 "LargeScale"VCM,withoutBack?tting. . . . . . . . . . . . . . . . . . . . . . 22 3 NotationandSnapshotofaSmoothingTool:B-splines. . . . . . . . . . 24 3. 1 GeneralKnotPlacement. . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 3. 2 SmoothingtheKTBData. . . . . . . . . . . . . . . . . . . . . . . . . . . 25 4 UsingB-splinesforVaryingCoef?cientModels. . . . . . . . . . . . . . . . 26 5 P-splineSnapshot:Equally-SpacedKnots&Penalization. . . . . . . . 28 5. 1 P-splinesforAdditiveVCMs. . . . . . . . . . . . . . . . . . . . . . . . 30 5. 2 StandardErrorBands. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30 6 OptimallyTuningP-splines . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 7 MoreKTBResults. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 8 ExtendingP-VCMintotheGeneralizedLinearModel. . . . . . . . . . 33 9 Two-dimensionalVaryingCoef?cientModels. . . . . . . . . . . . . . . . . 36 ix x Contents 9. 1 Mechanicsof2D-VCMthroughExample . . . . . . . . . . . . . 37 9. 2 VCMsandPenaltiesasArrays. . . . . . . . . . . . . . . . . . . . . . . 39 9. 3 Ef?cientComputationUsingArrayRegression. . . . . . . . . 40 10 DiscussionTowardMoreComplexVCMs. . . . . . . . . . . . . . . . . . . . . 41 References. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42 PenalizedSplines,MixedModelsandBayesianIdeas. . . . . . . . . . . . . . . . . . 45 ¿ GoranKauermann 1 Introduction. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45 2 NotationandPenalizedSplinesasLinearMixedModels. . . . . . . . 46 3 Classi?cationwithMixedModels. . . . . . . . . . . . . . . . . . . . . . . . . . . 48 4 VariableSelectionwithSimplePriors. . . . . . . . . . . . . . . . . . . . . . . . 50 4. 1 MarginalAkaikeInformationCriterion. . . . . . . . . . . . . . . 50 4. 2 ComparisoninLinearModels. . . . . . . . . . . . . . . . . . . . . . .

Inhaltsverzeichnis

The Smooth Complex Logarithm and Quasi-Periodic Models.
P-spline Varying Coefficient Models for Complex Data.
Penalized Splines, Mixed Models and Bayesian Ideas.
Bayesian Linear Regression - Different Conjugate Models and Their (In)Sensitivity to Prior-Data Conflict.
An Efficient Model Averaging Procedure for Logistic Regression Models Using a Bayesian Estimator with Laplace Prior.
Posterior and Cross-validatory Predictive Checks: A Comparison of MCMC and INLA.
Data Augmentation and MCMC for Binary and Multinomial Logit Models.
Generalized Semiparametric Regression with Covariates Measured with Error.
Determinants of the Socioeconomic and Spatial Pattern of Undernutrition by Sex in India: A Geoadditive Semi-parametric Regression Approach.
Boosting for Estimating Spatially Structured Additive Models.
Generalized Linear Mixed Models Based on Boosting.
Measurement and Predictors of a Negative Attitude towards Statistics among LMU Students.
Graphical Chain Models and their Application.
Indirect Comparison of Interaction Graphs.
Modelling, Estimation and Visualization of Multivariate Dependence for High-frequency Data.
Ordinal- and Continuous-Response Stochastic Volatility Models for Price Changes: An Empirical Comparison.
Copula Choice with Factor Credit Portfolio Models.
Penalized Estimation for Integer Autoregressive Models.
Bayesian Inference for a Periodic Stochastic Volatility Model of Intraday Electricity Prices.
Online Change-Point Detection in Categorical Time Series.
Multiple Linear Panel Regression with Multiplicative Random Noise.
A Note on Using Multiple Singular Value Decompositions to Cluster Complex Intracellular Calcium Ion Signals.
On the self-regularization property of the EM algorithm for Poisson inverse problems.
Sequential Design of Computer Experiments for Constrained Optimization.

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Pressestimmen

From the reviews:

'The festschrift is a collection of 24 contributions stemming from a wide area of statistical models ranging from semiparametric and geoadditive regression to Bayesian inference, time series modeling, statistical regularization, and others. The topics are of current interest. ' The format of the volume is uniform and nicely presented ' . will be a useful resource for graduate students, researchers, and practitioners with an interest in these topics. I think the festschrift deserves a broad readership.' (Technometrics, Vol. 52 (3), August, 2010)


EAN: 9783790824131
Untertitel: Festschrift in Honour of Ludwig Fahrmeir. 2010. Auflage. Bibliographie. eBook. Sprache: Englisch. Dateigröße in MByte: 18.
Verlag: Physica-Verlag HD
Erscheinungsdatum: Januar 2010
Seitenanzahl: xxiv472
Format: pdf eBook
Kopierschutz: Adobe DRM
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