通过Pogit模型通过Poly-Gamma增强进行高效的EM估计
Iván Gutiérrez1, Sandra Ramírez2, Leonardo Jofré3
1Departamento de Economía y Administración, Facultad de Economía y Negocios, Universidad Andrés Bello, Santiago 8370134, Chile.
Entropy (Basel, Switzerland)
|February 27, 2026
概括
我们为Poisson-logistic (pogit) 模型开发了一个新的预期-最大化 (EM) 算法. 这种可扩展的方法有效地分析大型数据集,提供计算改进,而不牺牲统计准确性.
科学领域:
- 统计 统计 统计 统计
- 计量经济学 计量经济学 计量经济学
- 计算统计学 计算统计学
背景情况:
- 波桑逻辑 (pogit) 模型对于分析具有潜在强度的计数数据至关重要.
- 目前用于pogit模型的估计方法与大数据集作斗争,限制了它们的实际应用.
- 应用包括报告不足的纠正和钱包份额估计.
研究的目的:
- 开发一个计算效率高,可扩展的算法来估计标准pogit模型.
- 为了解决处理大规模数据集的现有方法的局限性.
- 为大规模的Pogit估计提供一个有竞争力的替代方案.
主要方法:
- 提出了一种新的预期最大化 (EM) 算法,利用Poly-Gamma数据增强.
- 该算法产生了一个有条件的高斯完全数据概率与封闭形式的EM更新.
- 整合了计算增强功能,如准牛顿加速和小型批量实现,以提高效率.
主要成果:
- 新的EM算法显示每次代成本较低,使得在数百万个观测结果上能够有效推断.
- 模拟研究和真实数据应用证实了大量的计算改进.
- 与现有方法相比,保持了统计准确性.
结论:
- 拟议的EM算法为大规模的Pogit模型估计提供了一个可扩展和计算效率高的解决方案.
- 它为直接的最大概率优化程序提供了有竞争力的替代方案.
- 该方法提高了pogit模型对大数据场景的适用性.
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