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Chen, Dey,and Shao: A New Skewed LinkModel 1175

P P

I
de1: det:O

-1 --9-6-3 0 8 6 9 1 1 -t - -9-6- 0 8 6 9 E

(a)
Figure2. ProbabilityPlots Wherethe Solid Curves Correspondto G Witha Half-NormalDistribution and the Dotted Curves Correspondto G
and a Scale ParameterEqual to 1. (a) Skewed probitmodel; (b) skewed logitmodel.
Witha Standard ExponentialDistribution

tionof theparameters(3, 6) can be writtenas We are led to the followingtheoremconcerningthe pro-


prietyof theposteriordistributionin (15) usingtheproper
f
n

L(f3, 61D) = [F(xif3 + 6zi) prior-r(6).


i=l1 Letri = l ify. = O and = -1 ify= 1. Also, letX denote
then x k knowndesignmatrixwithrowsxi and defineX*
x [1 - F(xlf3 + 6z-)]1-Yig(zj), (13) as the matrixwithrows Tix', wherek is the dimensionof
whichis equivalentto therepresentation of a standardbino-
mialregressionmodelwith0 = (f, 6) a vectorof regression Theorem1. Assume thatthe followingconditionsare
coefficientsand (xi, zi)' a vectorof covariates.The repre- satisfied:
sentationin (13) will ease computation.We demonstrate (B1) X is of fullrank.
this idea and the role of the auxiliaryvariableszi in the (B2) There exists a positivevectora E Rn (i.e., each
MCMC algorithmsin Section4. componentof a is positive)such that

3. THE PRIOR AND POSTERIOR DISTRIBUTIONS X*'a = O. (16)


In thissectionwe proposeclasses of noninformative and
informative priorsfor (f3,6), and discuss some theoretical (B3) j ulkdF(u) <o j lzlkg(z)dz< oo
propertiesof theproposedpriorsand resultingposteriors.
and

(1+ 161k)((6)d6 <cx.


3.1 Noninformative
Priors
Suppose thatwe consideran improperpriorforw(o3,b)
-00
of theform
Then
(14) co n co

where-F(6)is eithera properprioror an improperuniform Io j jk g H


Rk i={ Jj [F(x'o + 6)Y

prior;thatis, wQ(6)cx1. The posteriordistribution


of (,3,6)
based on theobserveddata Dobs is givenby x [1 - F(xlf3 + 6z-)]1-Yi

p(f3,6 Dobs) oc L(3, 6jDobs)_(6) X g(zi) dzi} (6) d3 d6 < oo. (17)
n 0o

{= Jnj [F(xf3 + 6zi)]Yi Because 7r(6)is proper,theconditionson thedesignma-


i=l ?
trixX are expectedto be similarto those forgeneralized
linear models (GLMs), which can be obtainedby taking
x [1- F(x'f3 + 6zi)]' Yig(zi) dzi} -(6) = 0
O or a degeneratedistributionforG. In fact,conditions
(B1) and (B2) are closely relatedto a geometricproperty
(15) of the design matrixX, the so called notfull-dimensional

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1176 Journalof the AmericanStatisticalAssociation,December 1999

property, as discussedby Natarajanand McCulloch (1995). is improperwhen wF(a)> 0 fora,i < 0 and ca2 < 0, where
(See also Chen and Shao 1999a forfurther discussion.)Fol- = (ali,ca2)-
lowingtheorem2.2 of Chen and Shao (1999a), assumptions The proofof Theorem3 is givenin theAppendix.From
(Bi) and (B2) are also necessaryfor(17). Theorem2, ourskewedlinkmodelcan yielda properposte-
Next,we consider-F(6)to be an improperuniformprior; riorevenunderan improperuniformpriorfortheskewness
thatis, -F(6) oc 1. For this case, the skewed link models parameter6. However,whena takes an improperuniform
are quite different fromthe standardGLMs. Due to the prior,the generalizedlogisticmodel leads to an improper
improperuniformpriorfor 6, more restrictive conditions and thuscannotbe used forBayesian
posteriordistribution,
on the design matrixX and the distribution functionG inference.
are requiredto ensureproprietyof the resultingposteri-
ors. One naturalapproachis to breakthe designmatrixX 3.2 Informative
Priors
into two partsso thatone partitioncorrespondsto yi = 0 We now proposea class of informative priorsfor (,B,6).
and anothercorrespondsto y. = 1, and thenapply condi- Our prioris based on thenotionof theexistenceof a previ-
tions (B1) and (B2) to each partition.In addition,we as-ous similarstudythatmeasuresthesame responsevariable
sume thatthe distribution G has supporton the positive and covariatesas thecurrentstudy.For ease of exposition,
real line. Let S0 = {i: yi = 0},SI = {j: yj = I},mo = we assumeonlyone previousstudy,as theextensionto mul-
card(So),ml = card(SI), and Xo and X1 are the matrices tiple previousstudiesis straightforward. We call the data
withrowsx', i E So and x', j E SI. We are thenled to thefromthesimilarpreviousstudyhistoricaldata throughout.
followingtheorem. (For detailsand motivationon informative priorelicitation
using historicaldata, see Chen, Ibrahim,and Yiannoutsos
Theorem2. Assume thatthe followingconditionsare 1999 and Ibrahim,Ryan, and Chen 1998.) Derivationof
satisfied: the informative priorforthe skewed link model proceeds
(CI) Xo and XI are of fullrank. as follows.Let no denotesamplesize forthehistoricaldata,
(C2) There existpositivevectorsao = (ao,I,... ao,m0)' let be an
yo no x 1 vectorof independentdichotomousre-
E Rmo and a, = (a,,, .. ., al,m,)' E Rml such that sponsesforthehistoricaldata,let Xo be an no x k matrixof
X2ao=0 and X'al =0. (18) covariatescorresponding to yo,and let zo denotethevector
of unobservedauxiliaryvariables.Let Do = (noI yo,Xo,zo)
(C3) g(z) is boundedwithg(z) = 0 forz < 0. denotethecompletehistoricaldata.Further, let wFo
(f, 6) de-
(C4) f00lUlk+r dF(u) < oo for some r > notethe initialprior distribution for (,B,6) fromtheprevi-
min(mo, ml)/(min(mo, ml) - 1). Then the posterior given ous study.Thatis, wFo(,3,6) is thepriordistribution for(f3,6)
in (15) withimproperuniformpriorson f3and d is proper. whenthehistoricaldata werethe"currentdata."Using this
That is, information, we wish to constructa priordistribution for
(,3,6) based on the currentstudy.We proposean informa-
j j < H j ~[F(x',3+ 6zj)]Y tivepriorof the form
fo IRk i= IR+
(
7F(,3, Do,obs, ao) Yc { [L(f3,61Do)]ao ? g(zoi) dzo0
x [1-F(x'f3 + 6zj)]l-Yg(zj) dzi} df3d6<oo, (19)

x wo(I3,6), (21)
whereR+ denotes(0, oo).
The proofsof Theorems1 and 2 are quite technicaland whereL(3, Do) is the complete-datalikelihoodgivenin
6l
thusare givenin theAppendix.Theorems1 and 2 demon- (13) withD replacedbythehistoricaldata Do, and Do,obs =
stratesolid featuresof our proposed model because, un-
(noI yoI Xo).
der some generalconditions,it guaranteesthepropriety of The parameterao in (21) can be interpreted as a disper-
the posteriordistributionsof f3and d usingimproperuni- sion parameterfor the historicaldata. It is reasonableto
formpriors.This enables us to carryout noninformativerestricttherangeof ao to be between0 and 1, and thuswe
Bayesian inferenceforthe regressioncoefficients, and fa- take 0 < ao < 1. One of the mainroles of ao is to control
cilitatescomparisonswithmaximumlikelihoodestimation. the heavinessof the tails of thepriorfor (,3,6). As ao be-
However,underthe noninformative priorwF(I3, a) o 7r(a), comes smaller,thetailsof (21) becomeheavier,resultingin
Stukel's generalizedlogisticmodel always leads to an im- a less informative prior.Settingao- 1, (21) correspondsto
properposteriordistribution.This resultis statedin thefol- theusual Bayesianupdateof wFo(f3, 6) via Bayes's theorem.
lowingtheorem. That is, withao = 1, (21) correspondsto the posteriordis-
tributionof (d3,6) fromthe previousstudy.When ao = 0,
Theorem3. Let L8t(f3,ajD0bs) denote the resulting
thepriordoes notdependon thehistoricaldata,and in this
likelihoodfunctionbased on theobserveddata forthegen-
case r(B3, 6 Do,obs, ao) _wo(B3,6). Thus the priorin (21)
eralizedlogisticmodelgivenin (2), (3), and (4). Then,if we
can be viewedas a generalization of theusual Bayesianup-
take an improperuniformpriorforf3,the posteriordistri-
date of ro(f3,6). The parametera0 allows the investigator
bution
to controlthe influenceof the historicaldata on the cur-
Pt(3vaLD0bs) OCLs(f3,vaL D0bs )1r() (20) rentstudy.Such controlis important in cases wherethere

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Chen, Dey,and Shao: A New Skewed LinkModel 1177

is heterogeneitybetweenthepreviousand currentstudy,or The proofis providedin the Appendix.


whenthesamplesizes of thetwo studiesare quitedifferent. From(13), The complete-data log-likelihoodcan be writ-
For FO(f3,4),we choose eitheran improperuniformprior ten as
or a properpriorwithvaguepriorparameters. For example, n
we can takea (k + 1)-dimensional normalpriorfor7ro(,B,6) InL(3, 6IDobs) {yi n F(x',3 + 6zi) + (1 - yi)
withmean0 and covariancematrixColk+lwhereco is large. i=l
In any case, we pick wFo(3, 6) in such a way thatit has a n
+
minimalimpacton theposterioranalysis. x ln[l-F(x'3 + zi)]}?Z Ing(zi). (24)
The priorspecification
is completedby specifying a prior i=l
distributionfor ao. We take a beta priorfor ao, and thus To computetheMLEs of /3 and 6, we can use (24) and then

{
proposea jointpriordistribution for(3, 6,ao) of theform apply the Monte Carlo versionof the EM algorithmdis-
cussed by Wei and Tanner(1990). Alternatively, we can
(f3 6,aoDo,.bs) IX L[L(f3,dD)ao
dzoiD g(zoi) integrateout the zi's first,and then we use either the
t no i Newton-Raphsonmethodor the Nelder-Mead algorithm
implemented by O'Neill (1971). Because theseprocedures
x wo(,6)a ao(1-ao) AO , (22)
are quite standard,we omitthe detailsforbrevity.
where(ozo,A0) are specifiedpriorparameters.The priorin 4.2 MarkovChain MonteCarlo SamplingforBayesian
(22) does not have a closed form,but it does have sev- Inference
eral attractivetheoreticalproperties.First,we note thatif
(3, 6) is proper,then(22) is guaranteedto be proper.Fur-
wFo Here we brieflydescribehow to sample(/3,6)from
ther,(22) can be propereven if wro(3, its posteriordistributiongiven in (15). For ease of ex-
6) is improper.The
followingtheoremcharacterizesthepropriety position,we consider the case for which a noninforma-
of (22) when
tive prior is used, as the extensionto informativepri-
wo(3,6) X 1.
ors is straightforward. To sample fromthe posteriordis-
Theorem4. In additionto conditions(CI), (C2), and tribution p(/3, 1Dobs),we introducethe latent variables
(C3), assumethatthefollowingconditionshold: z (Zli Z2 ,Zn). Thenthejointposterior distribution
(C5) fO eloluI dF(u) < oo forsome to > 0. for (,3, 6,z) is given by
(C6) aoo > k + 1. Then the prior given in (22) with n
wFo(3,6) cx1 is proper.That is,
p(3, 6,z IDb) Xc [F(x'3 + 6zi)]i {17
IRk{I
1 oo nOA

-oo R+no [L(oI3Do)]ao i=Ug(zoi)dzoi}


x [1- F(x'/3 + 6zi)]1 Yig(zi)} 7(d). (25)
x aal (1 - ao) Al do3d dao < oo. (23)
To runtheGibbs sampler,we need to samplefromthefol-
The proofis givenin theAppendix. lowingcompleteconditionaldistributions: [zi13,6,Dobs] for
i = 1,2,... ,n, [/316, z, Dobs]. If bothg and
z, Dobs], and [d|/3,
4. COMPUTATIONALISSUES F are log-concave(whichwill be thecase wheng is either
4.1 The Existenceofthe MaximumLikelihoodEstimate a half-normal or an exponentialdensityand F-1 is thepro-
and Its Computation bit or logit),and -F(6) is log-concave,thenp(3, 6,z Dobs)
are log-concavein each componentof /3, 6, and z. Thus
In this section,we firstpresenta resultconcerningthe we can applytheadaptiverejectionalgorithmof Gilks and
existenceof the MLEs of (p, ). We thendiscuss how to Wild (1992). Therefore,it is easy to sample fromall three
computetheMLEs of (,, ). completeconditionaldistributions. If F E F, where F is
Because the existenceof the MLEs does not dependon definedby (10), thenwe can use an efficient MCMC algo-
the priordistributions of f and 6, the conditionsfor the rithmdevelopedby Chen and Dey (1998). To save space,
existenceof theMLEs of (d, 6) shouldbe closelyrelatedto we omitthe implementational detailshere.
theconditionsforthepropriety of theposteriordistributions
withimproperuniformpriorson f and 6. For the GLMs, 5. BAYESIAN MODEL COMPARISON
Chen and Shao (1999a) showedthatthe conditionsforthe
existenceof theMLEs are almostidenticalto thoseforthe In Section 2 we proposeda new skewedlink model for
proprietyof the posteriordistribution using an improper dichotomous quantal response data, in which the link is
uniformprioron theregressioncoefficients. Therefore,the determined by F and G. Therefore, it is of practicalinterest
sufficientconditionsstatedin Theorem2 are the same as to compare different choices of F and G. To this end, we
those for the existenceof the MLEs. This resultcan be propose a Bayes factor approach (see, e.g.,Kass andRaftery
summarizedin the followingtheorem. 1995) to perform Bayesian model comparison. Assumethat
thereare two sets of F and C, denotedby (Fj, Cj), i
Theorem5. AssumethatF is continuousand that(C 1), 1, 2, underconsideration. We aim to comparewhichset of
(C2), and (C3) are satisfied.Then theMLE of (,B,d) exists. (Fj, Gj ) fitsthe data better.

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1178 Journalof the AmericanStatisticalAssociation,December 1999

First,we considernoninformative priors.Using (15), the pear to be possible. However,a Monte Carlo methodcan
posteriordistribution for (3, 6) correspondingto (Fj Gy) be adopted for computingB. Chen and Shao (1997a)
is givenby gave a briefoverviewof recentlydevelopedMonte Carlo
methodsfor estimatingratios of normalizingconstants,
pj(; 1Dobs) whichincludeimportancesampling,bridgesampling(Meng
c pj and Wong 1996), ratio importancesampling (Chen and
61Dobs)
Shao 1997a), and a methodof Chib (1995) forcomputing
f Jo marginallikelihoods.
/t H)([Fj (XI + 6zi)i)
6. EXAMPLES
x [1-Fj(x + zi)]1-Yigj(zj) dzi} -(6), Example 1: SimulationStudy. In thisexamplewe con-
sider a complementary log-log regressionsimulation.Our
wheregj is thepdfof Gj andp*(o3,61Dobs) is theunnormal- primaryaims hereare to (a) comparetheproposedskewed
ized posteriordensity.Then theBayes factorforcomparing linkmodelswithStukel'smodelsand (b) investigatewhich
(F1, G1) to (F2, G2) can be calculatedas skewedlink model fitsthe data generatedfroma comple-
p7 (3, 61
Dobs) df3d6i_c1
mentarylog-log link model. For (a), we facilitatecom-
B= fRk+l
fRk+1P2(I3,l Dbs)dfd (26) parisons with maximumlikelihoodusing multiplesimu-
fRk+lp P(ol 61Dobs) do d6 C2
lated data sets,because Stukel's models lead to improper
wherecj is the normalizingconstantof the posteriordis- posteriordistributions under an improperuniformprior
tribution under(Fj, Gj) forj = 1,2. Thus theBayes factor on the regressioncoefficients3. For (b), we performa
B is a ratioof two normalizingconstants. comprehensiveBayesian analysis for a given simulated
Second, we considerinformative priors.Using (22) and dataset.
(12), we obtaintheposteriordistributionfor 3 and 6, which First,we generatemultiplesimulateddatasetsto compare
has theform the proposedskewedlink model withStukel's model. We
pj (f3 6 ao IDobs I DO,obs) independently generatexi N(1,3),i = 1,2,.. .,n, and
take 3 1. Then,usingthesame set of xi values,we inde-
cxL3(p, lDobs)wj (f3, ao Do,obs) (27) pendentlygenerate1,000 datasetsso thateach datasetcon-
forj = 1,2. Thus the Bayes factorforcomparing(Fl, g9) tainsn independentBernoulliresponsevariables,y., from
to (F2,g2) is givenby the complementary log-logregressionmodel withone co-
variatexi and thetruevalue of 3 1. The use of the same
B f
fRk+1 LL(3, 6jDobs)w1 (136, ao Do,obs) d3 d6 dao set of xi values ensuresthatthetrueprobability pi foreach
= 1
f fRk+l L2(3, 6 Dobs)w72 (1, 6, ao D0,obs) do d6 dao observationremainsthesame acrossall 1,000multiplesim-
ulateddatasets.By doingthis,we are able to assess the fit
(28)
of themodelunderconsideration. For theproposedmodel,
Let we use a skewedprobitwithcdfG corresponding to a half-
normaldistribution.
cpoji j1 (I
Lj , 6|Dobs)
To facilitatethe comparison,we computethe MLEs of
? k+1
themodelparametersfortheskewedprobitmodel,Stukel's
model,andthetruecomplementary log-logmodel,usingthe
x [Lj(0131DO)]ao 1 gj(Zoi)cdZoi} Nelder-Mead algorithm.Note thatthis optimizationalgo-
rithmis efficient forlow-dimensional problems,and it per-
6) x aO(1
x wFO(03, (ao) Al d1 d5 dao formsparticularly well fordimensionslower than 5. (See
Nernhauser,RinnooyKan, and Todd 1989 for a detailed
and discussion.)The resultsof the MLEs are given in Table
1 with various sample sizes. In Table 1, the mean, stan-
Cpr,j [Lj(, 61Doa)]o? gi(zo dzo dard deviation,and 95% confidenceintervalare computed
?O sRk+1 no
using the usual multiplesimulationtechnique.For exam-
ple, let /j denote the estimatedvalue of : fromthe jth
x -Fo(l, 6) x a'o(1 (- ao) AO-1 do d6 dao
simulationfor j = 1,2,.. ,1,000. Then the mean, stan-
forj 1,2. Then theBayes factorB givenin (28) reduces dard deviation,and 95% confidenceintervalare defined
to byp3 1/1,000 E.'Oj203jI (1/999 EZ>???(/j - 3)2)1/2, and
B Cpo, 1X Cpr,2 where/(25) and /(975) denotethe 25th and
(29) (/(25), /3(975)),
Cpo,2 Cpr,1
975thpercentilesof the,j 's. Table 1 showsthattheskewed
Thus computingB for this case requiresevaluatingtwo probitmodel gives almostidenticalestimatesof theregres-
ratiosof normalizingconstants. sion coefficient
,3 as the true complementary log-log re-
an- gressionmodel. However,Stukel's model presentsseveral
Due to the complexityof theposteriordistributions,
alytical evaluationof the Bayes factor,B, does not ap- problems.The averageestimateof ,3is notclose to thetrue

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1182 Journalof the AmericanStatisticalAssociation,December 1999

a good fit(see Dey, Chen, and Chang 1997 for a detailed minedby the data. There are, however,a few aspects that
discussion).The CPO values show that63% and 60% of warrantfurther discussion.
the observationsin thecurrentdata favorthe skewedlogit The most importantissue is the choice of F and G in
model overtheskewedprobitmodel withao = 0 and ao = the model definedby (5) and (6). In this articlewe took
1. Therefore,the CPO comparisonis consistentwith the F to be a normalor logisticcdf and G to have the den-
Bayes factorcalculation. sityof a standardhalf-normal cdf. In practice,the choice
Third,we comparetheskewedlogitmodelwiththesym- of F is usuallyrestrictedto a standardcdf,such as a nor-
metriclogit model and the complementary log-log link mal or logistic,whereasthereare manyplausible choices
model.For thesecomparisons,we computetheCPO values of G. The choice of G corresponding to a half-normalcdf
only.Using the currentdata alone, the CPO values show is analyticallytractableand easily implementablefroma
that63% and 71% of the observationsfavorthe skewed computational perspective.Nonparametric mixturemodels
logit model over the symmetric logit model and the com- such as Dirichletprocess mixturemodels can be imple-
plementary log-loglinkmodel.This resultis intuitively ap- mentedin modelingF as well as G. Some relatedwork
pealing.FromFigure1,theprobability curvefortheskewed in this directionhas been done by Basu and Mukhopad-
logit withthe negative6 value is on the rightside of the hyay(2000) and Newton,Czado, and Chappell(1996). Fol-
probabilitycurve for the symmetric logit model, whereas lowing Dey and Chen (2000), one can develop model di-
theprobability curveforthecomplementary log-logmodel agnosticstrategiesfor modelingbinaryresponsedata. In
is on theleftside of the symmetriclogitmodel.Therefore, addition,a more general skewed link model in the pres-
if the skewedlogitmodel fitsthedata betterthanthe sym- ence of correlatedbinaryand ordinalresponsedata is under
metriclogitmodel,thenthe symmetric research.
logitmodel should
fitthe data betterthanthe complementary log-log model.
The CPO comparisonsconfirm thatthisrelationship is pre- APPENDIX: PROOFS OF THEOREMS
served.With ao = 1, 68% of the observationsfavorthe Thefollowing
lemmaplaysa keyrolein theproofsofourthe-
skewedlogitmodeloverthesymmetric logitmodel.This is orems.
an interestingresult,as thepercentageof the observations
in favorof theskewedlogitmodeloverthesymmetric logit Lemma A.1
modelincreaseswhenmoreweightis givento thehistorical Assume that (B1) and (B2) are satisfied.Then thereexists a
data. constantK dependingonlyon X such that
< Kllull
11X311 (A.1)
whenever
7. DISCUSSION
X*/ < u. (A.2)
This articlehas presenteda class of new skewed link
modelsforanalyzingbinaryresponsedata withcovariates. Hereandin thesequel, denotestheEuclideannorm.
Our empiricalstudysuggeststhatan asymmetric linkmodel
Proof
maybe moreappropriate thana symmetric linkmodelwhen
the numberof l's is much different than the numberof Let = (E1,. . ,Ek) G Rk: Ei = ?1}. By (Bi), X* is
0's. In Example 1 thereare 157 l's and 43 O's fora given also of full rank. Thus for every E c E, thereis a b, c R' such
simulateddataset,whereasin Example 2 thereare 73 l's that
and 29 O's in the MASS data and 498 l's and 151 O's in b/X* =6. (A.3)
the PENN data. In the firstexample the data were gener-
Let a = (al,,.. an)' c R' be a positivevectorsatisfying(16).
ated fromthe asymmetriccomplementary log-log model. Put
In the second example we showed thatthe skewed logit IT
l<< (ai)
model witha negativeskewnessparameter6 fitsthe data 2max,Es 1 |b,||
betterthanthesymmetric logitmodel.However,thecounts ForE - sign(=3) = (sign(,31),. . ., sign(,3k))', we have r > 0
of l's and 0's only give an indicationfor the choice of and a + rb, > 0. Hence it followsfrom(A.2) that
links,and the otherfactors,such as the distributionof co- (a +wrb,)/u> (a +rbe)/X*/3 = wrb/X*/3
variates,may also affectthe choice of links for a given
dataset. = -rsign(/3')/3> (w/k)11/311,
Althoughthe proposedskewed link model does not in- as desired.
clude the complementary log-log link model, our large-
scale simulationstudyhas shownthatthe complementary Proofof Theorem 1
log-loglinkmodel can be well approximatedby a skewed
Let (, 41, 6, . ~.:
, be independent randomvariableswithcom-
probitmodel with a half-normaldistribution for G and a mon distribution functionF. Observingthat
skewnessparameterroughlyequal to .64.Comparedto the
complementary log-log link model, the advantageof the 1 -F(x) =E1{( > x}
proposedskewedlinkmodelis thatit allows moreflexibil- and
ityto model skewness;thatis, the skewnesscan be deter- F(x) E1{-( > -x},-

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Chen, Dey,and Shao: A New Skewed LinkModel 1183

we have
[F(xi/3+ 5zj)]8i[1 - F(x'/3 + 6zi)]'-Y' +hOc IRk IR+n 1(1z))

? El{ rj > ri(x4,3+ 5zi)}


and x 1{j<x;/3+6zj,jicS}dz} d13d6
[F(x43 + 5zi)]'Y[1 - F(x'3 + 6zi)]-Yi
? E1 {wT fj > wi(x4)3 + 5zi)}, d Ao+fAl.
(A.5)
where Ti = 1 for i c So and ri= -1 for i c S1. Let
V* = (,rl-.....). and z* = (TriZi. )..,zr,)/ Using Fu- Let o = ((i, i C So)'. Similarto Lemma A.1, by (C1) and (C2),
bini's theorem,we get thereexistsa constantK dependingonlyon Xo and XI such that

-
oo
jk k
B {JIR>[F(xXk>3
(i=
+ IR
~) kzi)
(Xj~ > ( + ) ? Kllull
11H11

wheneverXo/3< u or X1/3< u. By (C4), we have

< KJ [I1- F(x'z3 + {zE)]( Yg(Zi) dzi 7r(6)dl3d 6

fIk {V ? Fi(i
A
O/IRk R+n ( )

E [ > (43+6zi x 1z{z < (i -


XiA)/5,i C So}

x< 1{K/3<~i,iCSo}dz} d/3d5


1{i<n
<i dz di
3 +7r(6)
0
< SoIl{ lfx)3 < (i,i C
O k

xn
oo
n
1=1 J
x Umin(l,(Qi-x/,3)/6) d,3d6
ofThoe
P oof iEso

l{X*)3 < (*-6z* }dl3 7r(6) dzd 6


I Rk
< Kj E{j{Xo/ 3<o}d/3} d

fl g(zl)
O k
o} n c
)
i
< KJ {E( l1fk) + (611ZII)kl
+K E 1I{Xo/3<?o}
IR {+T(fl
_o Rn 1=1 J

- g(zi))k
x -x(6) dz d (byLemmaA.1) < oo (A.4)
by (B3). This provesthetheorem. x Umin(1,Q(i-xi/3)/6)dl3} d6
iEso
Proof of Theorem 2
Similarto (A.4), we get < Kj EHllllkd 5 +K

x E{(min(1, Ho/56))m-ogoIlHk}d5
x [1F (x')3 + 6zi)] Yi Z z l
< K+KJ E{lltoIlk1g{oll > 0}} d
J0
ook {= R+n
+ Kj E{(ll/o5I6)m011{oll < 601} oHlk} d5

x {l-F,i>r(x',3 +6z)-igz)dz <i n dz}d3d 6


< K+K j -reE{H lliolk+r} dS6+ K

x
Jo Rk tJ+n 1=1 < 00,
f 5-(1-e)moE{llHlk} d5

where0 is chosensuchthat1/r < 0 < (Mo - 1)/mo.


xT {i > x')3+ 6zi, I<iC < n}dz} d)3 d
Similarly,we have

A1 <oo.

This provesthetheorem.

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1184 Journalof the AmericanStatisticalAssociation,December 1999

o
Proofof Theorem3
+ K2 f (1 - In L(13, (IDo))-ao
For a, < 0 and a2 < 0, _0 Rk R+nO

Lst(3, a IDbs,) no

x flg(zoi)dzod/3d5

- I 1? a hW
i=1
i xi'3)-1/O1 f
K2HI + K2H2.

Write
X (1 + (1 /p)-1/1 ) l{xi/3 > 0}
(1 - In L(13, 61Do))-aO
( (1 + a2X 3h/)l/a2 1
(1
+ 1 + (1 + c32X/3)-1/a2J l1nL(13,5jDo))-ao

0+(I+ a2X/ ~ x 1{L(/3, 6jDo) > e-t(1?-'* ?6maxicSo zD}


(II + (1 + a2X/)-I/a2
+ (1 lnL(13, IDo))-ao 1

n x {L(13, IDo) < e-t*(1?HPH6maxicso ziI)}


>
H (1 + (1 + jacijx/3j)-l/a1)(1 + (1 + ja2lX/Ll)-1/a2) < e (1+H/H+6maxis0 Jzoil)}L(3, 1Do)

+ 6 max IZoi)<))
+ (t*(I + 11/311
> K(1 +(la, I+ ja2 1) jj/3jj)n/aj+n/a2

Hence, if 7r(a) > 0 fora,i < 0 and c2 < 0, then


whereto > 0 will be specifiedlater.Hence
I
f|
Lt (13,a|D,b,) dl3 =?,
Rk H1 < / / eto(1?+jjjj+6maxiGSoIzoi}L(I3
) Do)
as long as (-1/a - 1/ca2) < 1/n.Therefore,theposteriorgiven J k J +no
in (20) is improper. no

x fJg(zoi)dzod/3d5
Proofof Theorem4

JI
i=1
For ao > 0, Ao > 0, it can be shown thatthereexist K1 -

Ki(ao,Ao) > 0 and K2=


0 < t < 1,
K2(aeo,Ao)> 0 suchthatforall + fj
JO Rk R+nO
+ /1X31?S
(to(1 max zoil)<?
iESo

Ki(I + ln(1/t))ao < ] taoaeol(I


0
- ao)AO-ldao
no

x fg(zoi)dzod/3d5
i=l1
< K2(1 + ln(I/t))a. (A.6)
def
= Hi,I + H1i,2.
Thus we have

11 I rf
g [L(I3,6ID)]ao IJg(zoi)dzoi
It is easy to see that

f
Rk +no

H1,2 < K (I +
11?11+maxIzoi )ao
x aO?l( 5dao
ao) "Ol d/3d

fJfAf
- JO JR~k R+nO iESo

00 rno 1

-
_o Rk R+no
<
i=l
l(zoi) [L(3,lDo
)]ao x fJg(zoi)dzod3dn6
iEso
[by(C3)]

x aO?l (1- ao)A?-l dao} dzodl3d 6


- fJJ JO Rk R+nO
(1 + + 6)-ao(max Izoil)-
11311
iESo

< K2
o
_0
II IR (1
Rk R+no
InL(3,S61Do))-aO
x f
iEso g(zoi) dzo d/3d 6

no - Xj IRk(1?1311
, + )-aSao
d,3d
x Jg9(zoi) dzo d/3ds O k

i= 1

- K2J IJ IJ~ (1-ln L(13, 5lD0))-aO


(max I
)zoi
fl g(zoi) dzo

x< fJ9(Zoi)dzod/3ds
i=l
by (C3) and (C6).

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Chen, Dey,and Shao: A New Skewed LinkModel 1185

Along thelines of theproofof Theorem2, we get forany M > 0. Hence


I~~~~ lim
Hi, I <
Ia
I *1+j3j6aj
et0(?
so zO I
s0lzoiD ]J(zoi)E(1{zi
fIl?gmaxi
sup
M-+oo0 11,11+6>M2,6>0
L*(13,SIDobs) = 0.
O k X R+no i=l

Similarly,
< (i -x'i3)/1, i c So}1{Xo/3 < (o})d/3dzo d5

{j
B JfR+TO
+no
Ik et*(1+?111+6maxicsoIzoiI)
lim
M-+oo
sup
11011+6>M2,6<0
L* (3, 61Dobs) = 0.

? Rk
thereexistsM > 1 such that
Consequently,
171
Rno

g(zoi)1{zi < ((i


- Xi)3)/5, i C So} sup L* (/3,61Dabs) = sup L (3, 61D,b,)
i=1 ,3 6 11011+161<-M

This provestheexistenceof theMLE.


x 1{l1,1< Kjjtojj}d/3dzod6} [byLemma A.1]
[ReceivedJuly1998. RevisedJune1999.]

< KB {/
t o J+no
/R?To etoK(1+?IIoI1)+t* maxicso Izoil lok
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