Quasi-Monte Carlo for highly structured generalised response models

DOI10.1007/s11009-007-9045-3zbMath1234.62110OpenAlexW2103936630MaRDI QIDQ931378

William T. M. Dunsmuir, Robert S. Womersley, Frances Y. Kuo, Ian H. Sloan, Matthew P. Wand

Publication date: 25 June 2008

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://ro.uow.edu.au/cgi/viewcontent.cgi?article=1530&context=infopapers

zbMATH Keywords

Semiparametric regressionMaximum likelihoodGeneralised linear mixed modelsHigh-dimensional integrationLattice rulesLongitudinal data analysisSerial dependenceTime series regression

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Generalized linear models (logistic models) (62J12) Monte Carlo methods (65C05)

Related Items

Randomly shifted lattice rules for unbounded integrands, On the Choice of Weights in a Function Space for Quasi-Monte Carlo Methods for a Class of Generalised Response Models in Statistics, Semiparametric regression during 2003--2007, Ian Sloan and Lattice Rules, Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights, Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands, Weighted integration over a hyperrectangle based on digital nets and sequences, Probabilistic integration: a role in statistical computation?, Scalable logistic regression with crossed random effects, Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance, Fast QMC Matrix-Vector Multiplication

Uses Software

• LAPACK
• CLAPACK
• WinBUGS
• SemiPar
• TOMS659
• pyuvdata
• sobol.cc

Cites Work

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