通过坐点近似估计具有非正常随机效应的线性混合效应模型,并将其应用于零售定价分析
Hao Chen1, Lanshan Han1, Alvin Lim2,3
1Retail Solutions Research & Development, NielsenIQ, Chicago, IL, USA.
Journal of applied statistics
|August 19, 2024
概括
本研究引入了线性混合效应 (LME) 模型的新框架,允许非正常的随机效应. 这提高了商业解释和模型适合零售分析和医学研究.
科学领域:
- 统计 统计 统计 统计
- 计量经济学 计量经济学
- 数据科学数据科学数据科学
背景情况:
- 线性混合效应 (LME) 模型广泛用于零售,营销和医学研究.
- 标准LME推断依赖于随机效应的正常性假设.
- 零售应用通常需要非正常的随机效应来准确解释参数.
研究的目的:
- 开发一个灵活的LME框架,容纳非正常的随机效应.
- 提高LME模型中的参数估计的业务解释性.
- 为各种LME场景提供适用于一般估计框架.
主要方法:
- 一个基于概率密度函数的点近似 (SA) 的新型估计框架.
- 制定了受约束的非线性优化问题.
- 经典的LME模型被证明是SA框架内的特殊案例.
主要成果:
- 提出的基于SA的方法允许非正常的随机效应分布.
- 实现了模型估计的增强现实世界的解释性.
- 与现有方法相比,证明了满意的模型匹配.
结论:
- SA框架为LME建模提供了一个通用的方法.
- 这种方法特别有利于零售分析,需要细微的参数解释.
- 该研究将LME方法论推进到实际,现实世界的应用中.
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