Asymptotic theory for maximum likelihood estimates in reduced-rank multivariate generalized linear models

DOI10.1080/02331888.2018.1467420MaRDI QIDQ4580024zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 13 August 2018

Published in Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1710.04349

zbMATH Keywords

exponential familyM-estimationnon-convexparameter spacesrank restriction

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Abstract: Reduced-rank regression is a dimensionality reduction method with many applications. The asymptotic theory for reduced rank estimators of parameter matrices in multivariate linear models has been studied extensively. In contrast, few theoretical results are available for reduced-rank multivariate generalised linear models. We develop M-estimation theory for concave criterion functions that are maximised over parameters spaces that are neither convex nor closed. These results are used to derive the consistency and asymptotic distribution of maximum likelihood estimators in reduced-rank multivariate generalised linear models, when the response and predictor vectors have a joint distribution. We illustrate our results in a real data classification problem with binary covariates.

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Cited in

(7)

• Sufficient dimension reduction and prediction in regression: asymptotic results
• Reduced-rank vector generalized linear models
• Information theoretic criterion approach to dimensionality reduction in multinomial logistic regression models. part i: theory
• Probability inequalities for sums of NSD random variables and applications
• Taylor's power law and reduced-rank vector generalized linear models
• Heaping and seeping, GAITD regression and doubly constrained reduced-rank vector generalized linear models in smoking studies
• Reduced rank vector generalized linear models for feature extraction

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