Final published version
Research output: Contribution to Journal/Magazine › Journal article › peer-review
Kumaraswamy regression model with Aranda-Ordaz link function. / Pumi, Guilherme; Rauber, Cristine; Bayer, Fábio M.
In: Test, Vol. 29, 01.12.2020, p. 1051–1071.Research output: Contribution to Journal/Magazine › Journal article › peer-review
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TY - JOUR
T1 - Kumaraswamy regression model with Aranda-Ordaz link function
AU - Pumi, Guilherme
AU - Rauber, Cristine
AU - Bayer, Fábio M.
PY - 2020/12/1
Y1 - 2020/12/1
N2 - In this work, we introduce a regression model for double-bounded variables in the interval (0, 1) following a Kumaraswamy distribution. The model resembles a generalized linear model, in which the response’s median is modeled by a regression structure through the asymmetric Aranda-Ordaz parametric link function. We consider the maximum likelihood approach to estimate the regression and the link function parameters altogether. We study large sample properties of the proposed maximum likelihood approach, presenting closed-form expressions for the score vector as well as the observed and Fisher information matrices. We briefly present and discuss some diagnostic tools. We provide numeric evaluation of the finite sample inferences to show the performance of the estimators. Finally, to exemplify the usefulness of the methodology, we present and explore an empirical application.
AB - In this work, we introduce a regression model for double-bounded variables in the interval (0, 1) following a Kumaraswamy distribution. The model resembles a generalized linear model, in which the response’s median is modeled by a regression structure through the asymmetric Aranda-Ordaz parametric link function. We consider the maximum likelihood approach to estimate the regression and the link function parameters altogether. We study large sample properties of the proposed maximum likelihood approach, presenting closed-form expressions for the score vector as well as the observed and Fisher information matrices. We briefly present and discuss some diagnostic tools. We provide numeric evaluation of the finite sample inferences to show the performance of the estimators. Finally, to exemplify the usefulness of the methodology, we present and explore an empirical application.
KW - Kumaraswamy distribution
KW - Aranda-Ordaz link function
KW - Regression model
KW - Asymptotic theory
KW - MLE
U2 - 10.1007/s11749-020-00700-8
DO - 10.1007/s11749-020-00700-8
M3 - Journal article
VL - 29
SP - 1051
EP - 1071
JO - Test
JF - Test
ER -