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Title:

Conditional independence models for seemingly unrelated regressions with incomplete data

Document type:
Zeitschriftenaufsatz
Author(s):
Drton, Mathias; Andersson, Steen A.; Perlman, Michael D.
Abstract:
We consider normal ≡ Gaussian seemingly unrelated regressions (SUR) with incomplete data (ID). Imposing a natural minimal set of conditional independence constraints, we find a restricted SUR/ID model whose likelihood function and parameter space factor into the product of the likelihood functions and the parameter spaces of standard complete data multivariate analysis of variance models. Hence, the restricted model has a unimodal likelihood and permits explicit likelihood inference. In the deve...     »
Keywords:
Acyclic directed graph, Graphical model, Incomplete data, Lattice conditional independence model, MANOVA, Maximum likelihood estimator, Multivariate analysis, Missing data, Seemingly unrelated regressions
Dewey Decimal Classification:
510 Mathematik
Journal title:
Journal of Multivariate Analysis
Year:
2006
Journal volume:
97
Year / month:
2006-02
Quarter:
1. Quartal
Month:
Feb
Journal issue:
2
Pages contribution:
385-411
Language:
en
Fulltext / DOI:
doi:10.1016/j.jmva.2005.03.014
Publisher:
Elsevier BV
E-ISSN:
0047-259X
Notes:
Available online 25 May 2005
Date of publication:
01.02.2006
Format:
Text
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