COMMUN. STATIST THEORY METH., 22(5), 1335-1354 (1993) RESTRICTED GENERALIZED POISSON REGRESSION MODEL Felix Famoye Department of Mathematics Central Michigan University Mt. Pleasant MI 48859 Key Words: over-dispersion; under-dispersion; parameter estimation; test. ABSTRACT ‘The family of generalized Poisson distribution has been found useful in describing over-dispersed and under-dispersed count data. We propose the use of restricted generalized Poisson regression model to predict a response variable affected by one or more explanatory variables. Approximate tests for the adequacy of the model and the ‘estimation of the parameters are considered. Restricted generalized Poisson regression model has been applied to an observed data set. 1. INTRODUCTION ‘The Poisson distribution has been considered in the context of regression analysis for describing count data where the sample mean 1335 1 100% he Marcel Dekker IcFAMOYE and sample variance are almost equal [see Frome et. al. (1973), Frome (1983), and Holford (1983)]. Quite often, count data are over-dispersed or under-dispersed. Many regression models have been suggested to deal with under-dispersion or over-dispersion [see Manton et. al. (1981), Hinde (1982), Cox (1985), Stein and Juritz (1988), Lawless (1987), Dean et, al. (1989), McCullagh and Nelder (1989), and Efron (1986)} Breslow (1990) discussed tests of hypotheses for over-dispersion in a On regression and quasi-likelihood regression models. Consul and Famoye (1991) discussed the generalized Poisson regression (GPR) model based on the generalized Poisson distribution. The GPR model is applicable to count data which has over-dispersion, or under-dispersion or no dispersion at all. In this paper, we formulate and study a restricted generalized Poisson regression (RGPR) model for count data that are affected by a number of known predictor variables. The RGPR model is based upon the restricted generalized Poisson distribution, Consul (1989, page 5). The RGPR model can be applied to count data with over-dispersion, or under-dispersion or no dispersion. The restricted generalized Poisson distribution has been found useful in many fields such as genetics, ecology, marketing research and queuing processes. For a detailed account of the various applications see Consul (1989, Chapter 5). In the different applications, a RGPR model is appropriate whenever some covariates are observed along with the response variable. ‘The RGPR model is defined in section two and the estimation of its parameters by the method of maximum likelihood is discussed in section three. In section three, we also mention the least squares RESTRICTED GENERALIZED POISSON REGRESSION 1337 estimation technique for the RGPR model parameters. In section four, ‘we discuss the moment estimation technique. In section five, we examine the goodness-of-fit statistic and a test statistic for examining we the the adequacy of the RGPR model. In section six we: exa relative efficiency of the moment estimator to that of the maximum likelihood estimator. In section seven, we apply the RGPR model to an observed data set. Test statistics for examining the significance of the regression parameters can be based on the asymptotic distributions of their estimators. 2. RESTRICTED GENERALIZED POISSON REGRESSION MODEL ‘A generalization of the discrete Poisson distribution was introduced into the statistical literature by Consul and Jain (1973). For two given parameters 6 > 0 and max (+1, -0/4) m when <0 ta and zero otherwise where m is the largest positive integer for which @ +Am > 0 when A is negative. For negative values of 2, the GPD model (2.1) gets truncated at x = m and the sum EPA, 41; however, the eror of truncation has been shown to be less than 05% by Consul and Shoukri (1985). The condition max (-1, -6/4) $A has been imposed on 2 for this reason only, otherwise the two parameters are independent of each other.Bs FAMOYE The parametric transformation 1= a8 in (2.1) makes 2 directly Proportional to 6. Thus, the second parameter & becomes restricted and provides the restricted GPD model (1 tax) *7 19% eC +O) /x1 jx =0,1,2,.. ee oO for x > m when a<0 22) and zero otherwise, where max(-8", -1/4) ¢a <0" and m is defined in (2.1), The case % in @.1) oF a= 0 in (2.2) corresponds to the Poisson distribution. The restricted GPD is a member of the class of modified Power series distributions studied by Gupta (1974) and the class of discrete exponential family distributions, Janardan (1982). Consul(1989, P. 90) gave an illustrative example on how the restricted GPD model (2.2) may be generated. ‘The GPD model (2.1) and the restricted GPD model (2.2) possess the properties of over-dispersion and under-dispersion (with respect to Poisson variation) which make them to be very good descriptive ‘models in the fields of genetics, ecology, marketing and many others. ‘The over-dispersion is indicated by the positive value of & (or 2) while the under-dispersion is described by a negative value of a (or 2). When a 2 0, the support of restricted GPD does not depend upon unknown parameters. However, when 0. <0, the restricted GPD model (2.2) is defined for x = 0, 1,..., INT(1/a). Consul and Shoukri (1984) Proved that there exist unique maximum likelihood(ML) estimators for @ and A in GPD model (2.1) when 2 > 0. Consul and Famoye (1988) extended this result to cover the case 4 <0. The ML estimate of @ in (2.1) is the same as the ML estimate in the restricted GPD model (2.2). RESTRICTED GENERALIZED POISSON REGRESSION 1339 Thus the restricted GPD model (2.2) have unique ML estimates for parameters @ and 0. Let Y be the response variable, which is a count, and let x be a (k- 1)-dimensional vector of predictor variables. A restricted generalized Poisson regression (RGPR) model would specify that the distribution of Yj, for any given xj is that of restricted GPD model (2.2) with mean ECY{Ix) = HO) = ¢ fi, BD 2 where f(xj, B) > 0 is a known function of xj and a k-dimensional vector B of regression parameters, and ¢j is a measure of exposure. The function f(x, 8) is differentiable with respect to B. ‘The mean and the variance 6? for the RGPD model (2.2) are given by Hla) = 801 — 08 and 0? = (1-08) and the RGPR model can be written as HV ecay ¥- Tex (anette reveylap=[-#| (+ay) oof or yrO1, ea) and zero otherwise. When 0: = 0, the RGPR model (2.4) reduces to the Poisson regression model. For a > 0, the RGPR model will represent count data with over-dispersion and for o < 0, it will represent count data with under-dispersion. ‘The variance of Y in model (2.4) is given yy Var (1x) = Og) [1 + @ HexD)? 5)1340 FAMOYE 3. MAXIMUM LIKELIHOOD ESTIMATION ‘The likelihood function of the RGPR model (2.4) is given by Ha = of Sfp a a idsay yin} BD where jj = u(x) ‘Therefore, the logarithm of the likelihood function is i I=InL (a, +i fr Uny,—In (+041 + (y,-D In G+ ay) AREY imo} . G2) From (3.2), we obtain the ML equations for estimating the parameters @ and Bas Ag (mw GD HL O-ny a : = HOD) 2a (mt Tray, Gran) "? on bee ats =r —1=0. G4) OB, ew, (1 +aH)? 2B, (On substituting i f(a, BD, equation (3.4) can be re-written as. aes ie 3B, ee D4 fe, BE (toy): =o ral,2, G5) It is clear from the above that the ML equations are non-linear in the parameters. Iterative technique will be needed to solve for the Parameters a and § in the above equations (3.3) and (3.4). The initial estimates for Q are the corresponding estimates for a Poisson regression model. In general, the initial estimate of a can be taken as zero. However, the moment estimate of a (discussed in section 4) can be | | RESTRICTED GENERALIZED POISSON REGRESSION 1341 used as the initial estimate of a. When a 2 0, the RGPR model is as given in (2.4), however, when a. < 0, y can only take on the values 0, 1, 2,..., INT¢1/a). We note here that the ML estimate of & from (3:3) will exist since the model (2.2) has unique ML estimates. (On taking the second partial derivatives of l(a, B), we get Fr_a f[_yw? ROD , AH | es 23 (eth dea” Gran, FL Lg 20; Hp oa2.3,. ok 7 deap, int G+ 0H)" ap, and aia f_y- eu, tes 2 i ah en 20,28, § (et 20,285 Saheae a8, 1182 1 2rooks From the second derivatives, the Fisher's information matrix (a, B) can be obtained by taking the expectations of minus the second derivatives. The entries in the matrix I(a, B) are ts@o = 2 oahage = 7 es) 1y,k+1(,B) = 0 3.10) and Seam G1 Tanker @® = 2, zat rany [Note that (3.11) is obtained from (3.6) “The method of scoring can be used to find the roots of equations (9.3) and (3.4). This leads to solving the following system T(a®, 8°) 8° = H(@®, B°) a2)1342 FAMOYE, where I(a*, 8%) is the Fisher's information matrix evaluated at the initial estimates (0, 8) = (a*, B°) and H(o®, B°) is a matrix with entries defined in (3.3) and (3.4). The matrix H(o°, 8°) is also evaluated at the initial estimates (a®, 8°). In (3.12), 8° = (a, B)- (0°, 8°). ‘The system of equations in (3.12) is solved for 8° in order to obtain a new set of values for (a, f) which is given as (at, BY) = (0°, B) + 5° This process is continued until a stable solution is reached and this corresponds to the ML estimate (@, ) of (a, 8). Equations (3.4) are quasi-tikelihood equations (McCullagh and Nelder (1989, Chapter 9)] and their solutions can be viewed as weighted least squares estimates. Thus the weighted least squares estimates of 8 are equivalent to the ML estimates when a is fixed. This result is similar to the one for Poisson regression model which was demonstrated by Frome et. al. (1973). 4. MOMENT ESTIMATES Breslow (1984) suggested the estimation of a dispersion parameter by equating the chi-square statistic to its degrees of freedom. Breslow used the variance function ji(1+apj). For the RGPR model (2.4), we use the equation an ‘which can be solved iteratively to yield the moment estimate of a. The initial estimate of a can be taken as 0. The initial values of ui, are the fitted values from using the Poisson regression model. RESTRICTED GENERALIZED POISSON REGRESSION 13 We first obtain a from (4.1). To obtain the estimates of the parameters {j, we use the system of equations (3.5) which are solved iteratively. The initial estimates of B are the correspoading estimates from Poisson regression model. On getting new f, we return to equation (4.1) and solve for a new a. This process is continued until we obtain a stable solution (@, 8), the moment estimates of (a, §). This approach is similar to that of Breslow except that the variance function used in (4.1) is given by (2.5). 5. GOODNESS-OF-FIT STATISTICS A measure of the goodness-of-fit for the RGPR function specification may be based on the deviance statistic D. This is given as D=21G,y; g bs nf Ot la a+ yp were 1G isa defined i (2). “Wy yp] eegen 6.1) It has been shown that the statistic D can be approximated by a chi- square distribution with n- k- 1 degrees of freedom when pj's become large. The regression function is appropriate if D is found not to be too large when compared with the tabulated chi-square value. After specifying a regression function, different regression models like the RGP, the Poisson, the compound Poisson or the negative binomial regression models may be applied to a given data set. The regression ‘model with the smallest value of the deviance D, among all regression models considered, is usually taken as the best model for describing the given data. This comparison is based on the consideration of a mendal that chawe a lark af ft with ane that does not.1344 FAMOYE ‘The RGPR model (2.4) reduces to the Poisson regression model when the dispersion parameter a = 0. To assess the adequacy of the RGPR model over the Poisson regression model, one may test the hypothesis Hya=0 versus Haeo . 62) The inclusion of the dispersion parameter o: in the regression model is justified if H, is rejected. Thus, it is quite reasonable to use the RGPR model instead of the Poisson regression model to fit a data for which H is rejected. To carry out the test in (5.2), one has to estimate the parameter vector B and the dispersion parameter a from sample data. We Propose the test statistic 2In pascal 63) LG, @) where L(G, @ = 0) is the likelihood function for the Poiecon regression model and LG, @) is given by (3.1). ‘The unknown parameters in each case are estimated by the method of ML. In general, need not equal & ‘The test statistic in (6.3) is approximately chi-square distributed with one degree of freedom when His true 6. ASYMPTOTIC DISTRIBUTION OF THE ESTIMATORS ‘The estimating equations for the moment estimators @ and are ae v4(o,, 8) = Sy YEH Sh Sts 0, rH1,2,3,...4k 61) im (1 + omy? ap, RESTRICTED GENERALIZED POISSON REGRESSION 1345 ew 0, for fixed k 62 esc = -n=0, =? een Note that (6.1) corresponds to (2.4) and (6.2) corresponds to (4.1). By using results from Inagaki (1973), the estimators (Gf) are consistent and asymptotically normal with variance-covariance matrix varler @-a,0-B)} = A%e, ® Ba, D(A%o, OF 63) where A(e, B) and B(, B) are (k+1) by (k+1) matrices. lim aH Ove) A) noe La, 6s) @=(o,f) andr,s=1,2,3,...,kel. since each Y; is from a restricted generalized Poisson regression model with parameters a and p, we have CY; - Hy) =O EQ, - 1m)? = (1 + 0)? EY, - HW) =14(1 + 30m) + on) and BY, - wp)" = wy + Sn + 00; + 150° H,701 + on) From (6.4) and (6.5), after much simplification we obtain lim fe Yo, 0 | MOD el ba and _ tim [rttep | via.p = tm [Rees where I"(a, 8) is Fisher's information matrix with entries defined by 8%,1346, FAMOYE Daly by by..b)" and c= (Cyc, 6y--4q)", with beg L$ 1+ 30m au, WE il + on) ap, =1y 2H be ES and oot #24 10042 On inverting A(G, ) and substituting into (6.3), we obtain varlar-o, 8-B)} -| Kap ° a biloerb™Ea, Db where (a,g) = lim {Lrep} By using the entries (3.9) - (3.11) of the Fisher's information ‘matrix, one can write down the variance-covariance matrix for the ‘maximum likelihood estimators @ and , Hence varln@-0,8-p} = 1,0. The relative efficiency (RE) of moment estimator & to the maximum. likelihood estimator & is Re = Yarn - 09) var{m(@- a) - —_Cliseel dialewi-bIXe, Db) ” “ where Tenor isthe (1 taste, 0) RESTRICTED GENERALIZED POISSON REGRESSION 1347 If we consider the case k = 1, i.e. when there is no covariate so that jy = , equation (6.6) reduces to RE = —1+20__ 6n 1+2a 43041 From (6.7), the relative efficiency —> 1 a5 0: 0. We also note that the relative efficiency will decrease as jt increases. For cases with k > 1, the relationship is somewhat not obvious and we shall illustrate these cases by considering some numerical examples. Thus the relative efficiency of moment estimator to the maximum likelihood estimator are shown in Figures 1 to 5 by plotting the relative efficiencies against the values of a. In figures 1 to 5, the relative efficiency (RE) is computed by using ‘the mean function Oy) = exp(Bo + Bix). In figures 1_and 2, one-third of the x's is each of 0, 1, 2 and in figures 4 and 5, one-fifth of the x's is each of -1.0, -05, 0.0, C5, 1.0. Figure 3 corresponds to a case where there is no covariate as f = 0. In each of the figures 1 to 5, four relative efficiency curves corresponding to (a) exp(f) = 0.5, (6) exp(By) = 1.0, (© exp(By) = 25,and (d) exp(B,) = 4.0 are drawn. ‘The relative efficiency of moment estimator to the maximum likelihood estimator are drawn for values of ot in the interval (-0.2, 0.2). In figure 1, where fy = -0.2, we observed that the RE could be as low as 0.48 when exp(Bg) = 4.0. In general, the RE is increasing when « increases from -0.2 to 0.0 and thereafter decreases. In all figures, the higher the value of exp((), the lower the value of RE. In figures 1, 2, 4,1348 RE RE Figire2 &=01 FAMOYE, (a) ) (e) (e) fa) ) (© @ RESTRICTED GENERALIZED POISSON REGRESSION RE « Figire3 fy =00 RE . 1349 (a) o) @ (a o © @1350 FAMOYE, (a) b) te) @) RE Figure 5 By =02 and 5, the RE is very close to 1.0 when a is near 0.0. In figure 3, the RE ic exactly 1.0 for @ = 0.0 since this case corresponds to the one with no explanatory variable xj. 7. EXAMPLE: FABRIC DATA Hinde (1982) considered a data on number of faults in rolls of fabric. The dependent variable Y is the number of faults and the explanatory variable x is the logarithm of the length of roll. It was observed that the data was over-dispersed and so the use of Poisson regression model may not be appropriate. Hinde applied the ‘compound Poisson regression model to fit the data and concluded that RESTRICTED GENERALIZED POISSON REGRESSION 1351 Table 7.1 Analysis of deviance for Poissoi, compound Poisson and RGPR models Model Deviance ak Poisson 46 30 Compound Poisson 50.98 » RGPR 29.94 » this regression model did better than the Poisson regression model in describing the dataset. We applied the RGPR model defined in section two to this data set, The logarithm of length of roll was taken as the explanatory variable under the mean specification x) = exp(Bo + Bx) which is slightly different than the one in Hinde (1982) In table 7.1, we report the deviances for the Poisson and compound Pisson regrcesion ‘models as given by Hinde. Also, we report in this table the deviance from fiting the RGPR model. By comparing the deviances with the appropriate tabulated chi- aquare values, we notice that both the Poisson and the compound Poisson regression models do not provide an adequate fit while the GPR model does provide a better fit to the dataset. ‘The maximum likelihood estimates of the parameters with their standard errors in brackets are: & = 0.04898 (0.0210), fp =-3.7358 (14551), and Bi=0:9283 (0.2279).1382 FAMOYE The estimate of the parameter a in the RGPR model is positive which indicates that the data is over-dispersed. To test the hypothesis in (5.2) for over-dispersion, we compute the chi-square value |; in (5.3) to be 1278, On comparing this value ofl, withthe tabulated chi-square on 1 Lf, we notice that I; is significant. Thus the data is over-dispersed and $0 the inclusion ofthe extra parameter ain fitting the data is justified Since the ML estimators are asymptotically normal, confidence intervals for the parameters will be based on normal distribution. A 95% confidence interval fo Bis given by i+ 1.9600(6). In the example, 95% confidence intervals for Parameters a, Bg, and B, are respectively (0.0072, 0.0895), (6.5878, 0.8838), and (0.46, 13750). ACKNOWLEDGEMENT ‘The author thanks the referees for their suggestions, REFERENCES Breslow, N. (1984). Extra-Poisson vari r nN. 9 =a Extra-Poisson variation in log-linear models. Appl. Breslow, N. (1990). Tests of hy it American Statistical Association 85, 565-571. Consul, P. C. (1988). li i ibuti . Generalized Poisson Distribut Properti Applications, Marcel Dekker Inc., New York. Consul, P. C. and Famoye, F. (1992). Gi i , F. (1992). Generalized P i Model. Comm. Statist. Theor. & Math. 2100, 8910. RESTRICTED GENERALIZED POISSON REGRESSION 1353 Consul, P.C. and Famoye, F. (1988). Maximum likelihood estimation for the generalized Poisson distribution when sample mean is larger than sample variance. Comm. Statist. - Theor. & Meth 17(1), 299-309. Consul, P.C. and Jain, G. C. (1973). 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G., Woodburry, M. A., and Stallard, E. (1981). A variance components approach to categorical data models with heterogeneous cell populations: Analysis of spatial gradients in lung cancer mortality rates in North Carolina counties. Biometrics 37, 259-269. Stein, G. Z. and Juritz, J. M. (1988). Linear models with an inverse Gaussian-Poisson error distribution. Communications in ‘Statistics -Theory and Methods 17(2), 557-571. Received Decenber 1991; Revised August 1992 COMMUN, STATIST.—THEORY METH., 22(5), 1355-1369 (1993) A RELATION BETWEEN PRODUCT-LIMIT ESTIMATE, AND JOINT-RISK ESTIMATE Meei Pyng Ng ‘School of Science and Mathematics Education University of Melbourne Parkville, Australia 3052 Key Words and Phrases: product-limit estimate; joint-risk ‘estimate; tied observations; competing risks. ABSTRACT ‘The joint-risk estimate of the survival function, used for censored survival data grouped into fixed intervals, is shown to be the geometric mean of all the product-limit estimates that correspond to all the possible orderings of all the failure times and censoring times in the group. The joint-risk estimate is proposed as a more appropriate and better means of dealing with ties for data containing ted failure limes competing risk problems with tied failure times involving different causes. It could be used as a substitute for the product-limit estimate in discrete failure time analysis. 1d censoring times. It is olco applicable to 1. Introduetion In the analysis of survival data, it is often very useful to summarize the survival experience of a particular group of individuals in terms of the sample survival function. Let T denote 1355 ‘Convesht @ 1993 by Marcel Dekker, Jee.