A review of some extensions to generalized linear models

Although generalized linear models are reasonably well known, they are not as widely used in medical statistics as might be appropriate, with the exception of logistic, log-linear, and some survival models. At the same time, the generalized linear modelling methodology is decidedly outdated in that more powerful methods, involving wider classes of distributions, non-linear regression, censoring and dependence among responses, are required. Limitations of the generalized linear modelling approach include the need for the iterated weighted least squares (IWLS) procedure for estimation and deviances for inferences; these restrict the class of models that can be used and do not allow direct comparisons among models from different distributions. Powerful non-linear optimization routines are now available and comparisons can more fruitfully be made using the complete likelihood function. The link function is an artefact, necessary for IWLS to function with linear models, but that disappears once the class is extended to truly non-linear models. Restricting comparisons of responses under different treatments to differences in means can be extremely misleading if the shape of the distribution is changing. This may involve changes in dispersion, or of other shape-related parameters such as the skewness in a stable distribution, with the treatments or covariates. Any exact likelihood function, defined as the probability of the observed data, takes into account the fact that all observable data are interval censored, thus directly encompassing the various types of censoring possible with duration-type data. In most situations this can now be as easily used as the traditional approximate likelihood based on densities. Finally, methods are required for incorporating dependencies among responses in models including conditioning on previous history and on random effects. One important procedure for constructing such likelihoods is based on Kalman filtering.