Generalized linear models

TODO
Classic linear models
Generalised linear models
Hierarchical generalised linear models
Generalised additive models
Generalised additive models for location, scale and shape
Vector generalised additive models
Vector generalised hierarchical additive models for location, scale and shape
Generalised estimating equations
GGLLM
References

Using the machinery of linear regression to predict in somewhat more general regressions, using least-squares or quasi-likelihood approaches. This means you are still doing something like familiar linear regression, but outside the setting of e.g. linear response and possibly homoskedastic Gaussian noise.

TODO

Discover the magical powers of log-concavity and what they enable.

Classic linear models

See linear models.

Generalised linear models

The original extension. Kenneth Tay’s explanation is simple and efficient.

To learn:

When we can do this? e.g. Must the response be from an exponential family for really real? What happens if not?
Does anything funky happen with regularisation? what?
model selection theory

Response distribution

🏗 What constraints do we have here?

Linear Predictor

🏗

Link function

An invertible (monotonic?) function relating the mean of the linear predictor and the mean of the response distribution.

Quaslilikelihood

A generalisation of likelihood of use in some tricky corners of GLMs. (Wedderburn 1976) used it to provide a unified GLM/ML rationale. I don’t yet understand it. Heyde says (Heyde 1997):

Historically there are two principal themes in statistical parameter estimation theory
It is now possible to unify these approaches under the general description of quasi-likelihood and to develop the theory of parameter estimation in a very general setting. […]
It turns out that the theory needs to be developed in terms of estimating functions (functions of both the data and the parameter) rather than the estimators themselves. Thus, our focus will be on functions that have the value of the parameter as a root rather than the parameter itself.

Hierarchical generalised linear models

GLM + hierarchical model = HGLM.

Generalised additive models

Generalised generalised linear models. Semiparametric simultaneous discovery of some non-linear predictors and their response curve under the assumption that the interaction is additive in the transformed predictors \[ g(\operatorname{E}(Y))=\beta_0 + f_1(x_1) + f_2(x_2)+ \cdots + f_m(x_m). \]

These have now also been generalised in the obvious way.

Generalised additive models (GAMs): an introduction – Environmental Computing

Generalised additive models for location, scale and shape

Folding GARCH and other regression models into GAMs.

GAMLSS website:

GAMLSS is a modern distribution-based approach to (semiparametric) regression models, where all the parameters of the assumed distribution for the response can be modelled as additive functions of the explanatory variables

Vector generalised additive models

See Yee (2015).

Vector generalised hierarchical additive models for location, scale and shape

Exercise for the student.

Generalised estimating equations

🏗

But see Johnny Hong and Kellie Ottoboni. Is this just the quasi-likelihood thing again?

GGLLM

Generalized² Linear² models (Gordon 2002) unify GLMs with non-linear matrix factorisations.

References

Atal, B. S. 2006. “The History of Linear Prediction.” IEEE Signal Processing Magazine 23 (2): 154–61.

Barbier, Jean, Florent Krzakala, Nicolas Macris, Léo Miolane, and Lenka Zdeborová. 2017. “Phase Transitions, Optimal Errors and Optimality of Message-Passing in Generalized Linear Models.” arXiv:1708.03395 [Cond-Mat, Physics:math-Ph], August.

Bolker, Benjamin M., Mollie E. Brooks, Connie J. Clark, Shane W. Geange, John R. Poulsen, M. Henry H. Stevens, and Jada-Simone S. White. 2009. “Generalized Linear Mixed Models: A Practical Guide for Ecology and Evolution.” Trends in Ecology & Evolution 24 (3): 127–35.

Boyd, Nicholas, Trevor Hastie, Stephen Boyd, Benjamin Recht, and Michael Jordan. 2016. “Saturating Splines and Feature Selection.” arXiv:1609.06764 [Stat], September.

Breslow, N. E., and D. G. Clayton. 1993. “Approximate Inference in Generalized Linear Mixed Models.” Journal of the American Statistical Association 88 (421): 9–25.

Buja, Andreas, Trevor Hastie, and Robert Tibshirani. 1989. “Linear Smoothers and Additive Models.” Annals of Statistics 17 (2): 453–510.

Currie, I. D., M. Durban, and P. H. C. Eilers. 2006. “Generalized Linear Array Models with Applications to Multidimensional Smoothing.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 68 (2): 259–80.

Eichler, Michael, Rainer Dahlhaus, and Johannes Dueck. 2016. “Graphical Modeling for Multivariate Hawkes Processes with Nonparametric Link Functions.” Journal of Time Series Analysis, January, n/a–.

Finke, Axel, and Sumeetpal S. Singh. 2016. “Approximate Smoothing and Parameter Estimation in High-Dimensional State-Space Models.” arXiv:1606.08650 [Stat], June.

Friedman, Jerome, Trevor Hastie, and Rob Tibshirani. 2010. “Regularization Paths for Generalized Linear Models via Coordinate Descent.” Journal of Statistical Software 33 (1): 1–22.

Gordon, Geoffrey J. 2002. “Generalized² Linear² Models.” In Proceedings of the 15th International Conference on Neural Information Processing Systems, 593–600. NIPS’02. Cambridge, MA, USA: MIT Press.

Hansen, Niels Richard. 2010. “Penalized Maximum Likelihood Estimation for Generalized Linear Point Processes.” arXiv:1003.0848 [Math, Stat], March.

Hastie, Trevor J., and Robert J. Tibshirani. 1990. Generalized Additive Models. Vol. 43. CRC Press.

Heyde, C. C. 1997. Quasi-likelihood and its application a general approach to optimal parameter estimation. New York: Springer.

Hoaglin, David C., and Roy E. Welsch. 1978. “The Hat Matrix in Regression and ANOVA.” The American Statistician 32 (1): 17–22.

Lee, Youngjo., John A. Nelder, and Yudi Pawitan. 2006. Generalized linear models with random effects. Monographs on statistics and applied probability 106. Boca Raton, FL: Chapman & Hall/CRC.

Lu, Jun. 2022. “A Rigorous Introduction to Linear Models.” arXiv.

Mayr, Andreas, Nora Fenske, Benjamin Hofner, Thomas Kneib, and Matthias Schmid. 2012. “Generalized Additive Models for Location, Scale and Shape for High Dimensional Data—a Flexible Approach Based on Boosting.” Journal of the Royal Statistical Society: Series C (Applied Statistics) 61 (3): 403–27.

McCullagh, Peter. 1984. “Generalized Linear Models.” European Journal of Operational Research 16 (3): 285–92.

Nelder, J. A., and R. J. Baker. 2004. “Generalized Linear Models.” In Encyclopedia of Statistical Sciences. John Wiley & Sons, Inc.

Nelder, J. A., and R. W. M. Wedderburn. 1972. “Generalized Linear Models.” Journal of the Royal Statistical Society. Series A (General) 135 (3): 370–84.

Scandroglio, Giacomo, Andrea Gori, Emiliano Vaccaro, and Vlasios Voudouris. 2013. “Estimating VaR and ES of the Spot Price of Oil Using Futures-Varying Centiles.” International Journal of Financial Engineering and Risk Management 1 (1): 6–19.

Stasinopoulos, D. Mikis, and Robert A. Rigby. 2007. “Generalized Additive Models for Location Scale and Shape (GAMLSS) in R.” Journal of Statistical Software 23 (7): 1–46.

Stasinopoulos, Dimitrios, Robert Anthony Rigby, Gillian Heller, Vlasios Voudouris, and Fernanda De Bastiani. n.d. Flexible Regression and Smoothing: Using GAMLSS in R.

Thrampoulidis, Chrtistos, Ehsan Abbasi, and Babak Hassibi. 2015. “LASSO with Non-Linear Measurements Is Equivalent to One With Linear Measurements.” In Advances in Neural Information Processing Systems 28, edited by C. Cortes, N. D. Lawrence, D. D. Lee, M. Sugiyama, R. Garnett, and R. Garnett, 3402–10. Curran Associates, Inc.

Venables, W. N., and C. M. Dichmont. 2004. “GLMs, GAMs and GLMMs: An Overview of Theory for Applications in Fisheries Research.” Fisheries Research, Models in Fisheries Research: GLMs, GAMS and GLMMs, 70 (2–3): 319–37.

Wedderburn, R. W. M. 1974. “Quasi-Likelihood Functions, Generalized Linear Models, and the Gauss—Newton Method.” Biometrika 61 (3): 439–47.

———. 1976. “On the Existence and Uniqueness of the Maximum Likelihood Estimates for Certain Generalized Linear Models.” Biometrika 63 (1): 27–32.

Wood, Simon N. 2008. “Fast Stable Direct Fitting and Smoothness Selection for Generalized Additive Models.” Journal of the Royal Statistical Society: Series B (Statistical Methodology) 70 (3): 495–518.

Xia, Tian, Xue-Ren Wang, and Xue-Jun Jiang. 2014. “Asymptotic Properties of Maximum Quasi-Likelihood Estimator in Quasi-Likelihood Nonlinear Models with Misspecified Variance Function.” Statistics 48 (4): 778–86.

Yee, Thomas W. 2015. Vector Generalized Linear and Additive Models. Springer Series in Statistics. New York, NY: Springer New York.

Zoeter, Onno. 2007. “Bayesian Generalized Linear Models in a Terabyte World.” In 2007 5th International Symposium on Image and Signal Processing and Analysis, 435–40. Istanbul, Turkey: IEEE.