Using Fisher scoring to fit extended Poisson process models

DOI10.1007/BF03372105MaRDI QIDQ1775972zbMATH OpenFDO

Authors Peter J. Toscas, Malcolm J. Faddy

Publication date 20 May 2005

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF03372105

zbMATH Keywords

Fisher scoringMarkov processmaximum likelihoodmean calculationnegative binomial distributionPoisson process

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05)

Review text

The paper deals with the so called ``extended Poisson process model (EPPM) which is defined by \(\{Y_i(t),i=1,\dots,m\}\), where \(Y_i(t)\) are Markov processes describing the number of events occurring in the time interval \((0,t)\) and satisfying \[ P\{Y_i(t+\delta t)=n+1\mid Y_i(t)=n\}=\lambda_{in}\delta t +o(t),\quad P\{Y_i(t+\delta t)=n\mid Y_i(t)=n\}=1- \lambda_{in} \delta t +o(t). \] The authors focus on a special parametric form for the rate parameters \(\lambda_{in}\), i.e., they put \(\lambda_{in}=a_i(b+n)^c\), \(a_i>0, b>0, c<1\), and develop a Fisher scoring algorithm for the maximum likelihood estimation of the parameters for the mentioned EPPM with covariate dependent means. An application of such algorithm to analysis of school absence data is discussed.

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Cited in

(3)

• Extended Poisson process modelling and analysis of grouped binary data
• Fitting the extended Poisson process model to grouped binary data
• scientific article; zbMATH DE number 3473152 (Why is no real title available?)

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Uses Software

• MASS (R)
• GAUSS
• R

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