Title
State space mixed models for binary responses with scale mixture of normal distributions links
Date Issued
01 January 2014
Access level
metadata only access
Resource Type
journal article
Author(s)
Dey D.K.
Federal University of Rio de Janeiro
Abstract
A state space mixed models for binary time series where the inverse link function is modeled to be a cumulative distribution function of the scale mixture of normal (SMN) distributions. Specific inverse links examined include the normal, Student-t, slash and the variance gamma links. The threshold latent approach to represent the binary system as a linear state space model is considered. Using a Bayesian paradigm, an efficient Markov chain Monte Carlo (MCMC) algorithm is introduced for parameter estimation. The proposed methods are illustrated with real data sets. Empirical results showed that the slash inverse link fits better over the usual inverse probit link. © 2013 Elsevier B.V. All rights reserved.
Start page
274
End page
287
Volume
71
Language
English
OCDE Knowledge area
Econometría
Economía
Subjects
Scopus EID
2-s2.0-84889088687
Source
Computational Statistics and Data Analysis
ISSN of the container
01679473
Sponsor(s)
The authors would like to thank the Associate Editor and two anonymous referees for their constructive comments which substantially improved the quality of this paper. The research of Carlos A. Abanto-Valle was supported by the CNPq grant 202052/2011-7 . We thank P.X.-K. Song and Anne C. Smith for making the infant sleep and deep brain stimulation data sets available on http://www-personal.umich.edu/~pxsong/BOOKLDA.html and http://www.ucdmc.ucdavis.edu/anesthesiology/research/smith_Bayesian.html , respectively.
Sources of information:
Directorio de Producción Científica
Scopus