SMS scnews item created by John Ormerod at Mon 23 Mar 2015 1514
Type: Seminar
Distribution: World
Expiry: 28 Mar 2015
Calendar1: 27 Mar 2015 1400-1500
CalLoc1: Carslaw 173
Auth: jormerod@vlan-2688-10-17-107-152.staff.wireless.sydney.edu.au (jormerod) in SMS-WASM

# Statistics Seminar: Thomas Fung (Macquarie University) -- Semiparametric generalized linear models for time-series data

Abstract:

We introduce a semiparametric generalized linear models framework for time-series
data that does not require specification of a working distribution or variance
function for the data. Rather, the conditional response distribution is treated
as an infinite-dimensional parameter, which is then estimated simultaneously with
the usual finite-dimensional parameters via a maximum empirical likelihood
approach. A general consistency result for the resulting estimators is shown.
Simulations suggest that both estimation and inferences using the proposed method
can perform as well as a correctly-specified parametric model even for moderate
sample sizes, but is much more robust than parametric methods under model
misspecification. The method is used to analyse the Polio dataset from Zeger
(1988). This talk represents joint research with Dr Alan Huang.


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