Factor models for multivariate count data

Michel Wedel, Ulf Böckenholt and Wagner A. Kamakura

Journal of Multivariate Analysis, 2003, vol. 87, issue 2, 356-369

Abstract: We develop a general class of factor-analytic models for the analysis of multivariate (truncated) count data. Dependencies in multivariate counts are of interest in many applications, but few approaches have been proposed for their analysis. Our model class allows for a variety of distributions of the factors in the exponential family. The proposed framework includes a large number of previously proposed factor and random effect models as special cases and leads to many new models that have not been considered so far. Whereas previously these models were proposed separately as different cases, our framework unifies these models and enables one to study them simultaneously. We estimate the Poisson factor models with the method of simulated maximum likelihood. A Monte-Carlo study investigates the performance of this approach in terms of estimation bias and precision. We illustrate the approach in an analysis of TV channels data.

Keywords: Poisson; distribution; Simulated; likelihood; Link; function (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047-259X(03)00020-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:87:y:2003:i:2:p:356-369

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().