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Iterative Scaling in Curved Exponential Families

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  • Anna Klimova
  • Tamás Rudas

Abstract

type="main" xml:id="sjos12139-abs-0001"> The paper describes a generalized iterative proportional fitting procedure that can be used for maximum likelihood estimation in a special class of the general log-linear model. The models in this class, called relational, apply to multivariate discrete sample spaces that do not necessarily have a Cartesian product structure and may not contain an overall effect. When applied to the cell probabilities, the models without the overall effect are curved exponential families and the values of the sufficient statistics are reproduced by the MLE only up to a constant of proportionality. The paper shows that Iterative Proportional Fitting, Generalized Iterative Scaling, and Improved Iterative Scaling fail to work for such models. The algorithm proposed here is based on iterated Bregman projections. As a by-product, estimates of the multiplicative parameters are also obtained. An implementation of the algorithm is available as an R-package.

Suggested Citation

  • Anna Klimova & Tamás Rudas, 2015. "Iterative Scaling in Curved Exponential Families," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 42(3), pages 832-847, September.
    • Handle: RePEc:bla:scjsta:v:42:y:2015:i:3:p:832-847
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    File URL: http://hdl.handle.net/10.1111/sjos.12139
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    References listed on IDEAS

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    1. Klimova, Anna & Rudas, Tamás & Dobra, Adrian, 2012. "Relational models for contingency tables," Journal of Multivariate Analysis, Elsevier, vol. 104(1), pages 159-173, February.
    2. Anna Klimova & Tamás Rudas, 2012. "Coordinate-free analysis of trends in British social mobility," Journal of Applied Statistics, Taylor & Francis Journals, vol. 39(8), pages 1681-1691, January.
    3. Evans, R.J. & Forcina, A., 2013. "Two algorithms for fitting constrained marginal models," Computational Statistics & Data Analysis, Elsevier, vol. 66(C), pages 1-7.
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    Cited by:

    1. Klimova, Anna & Rudas, Tamás, 2022. "Hierarchical Aitchison–Silvey models for incomplete binary sample spaces," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
    2. Klimova, Anna & Rudas, Tamás, 2016. "On the closure of relational models," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 440-452.
    3. Antonoio Forcina, 2019. "Estimation and testing of multiplicative models for frequency data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 82(7), pages 807-822, October.

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